No matter the time, place or occasion, when pigs in a blanket find a place on the buffet table or on a passed tray, you can bet that they will be gone in a flash Even people who profess to not like them will be caught taking a surreptitious bite or two. An all-time American cocktail party favorite, they would make the perfect snack for a book club. Although they are easy to make using prepared roll dough, if you want to spend some extra time in the kitchen, by all means make your own pie pastry to wrap the little dogs in." — From A Reader's Cookbook by Judith Choate (Red Rock Press). Judith Choate is a three-time James Beard Cookbook Award winner.
Combine the mustard, honey, and hot sauce in a small bowl, whisking to combine well. Use as directed or as a dipping sauce for grilled or fried chicken or pork. Store covered, and refrigerate for up to 1 month.
Preheat the oven to 375ºF.
Separate the dough from each can of rolls into four equal rectangles; then cut each rectangle into four 3-inch long strips.
Working with one piece at a time and using a pastry brush, lightly coat each dough strip with Honey-Mustard Sauce. Place a cocktail frank in the center of each piece and carefully roll the dough up and over the frank, leaving each end uncovered. Lightly push the ends of the dough together to seal it around the frank.
As finished, place each pig in a blanket, seam-side down, on the prepared baking sheets, leaving about 2 inches between each one.Combine the egg and cream in a shallow bowl, whisking to combine. Using a clean pastry brush, lightly coat the top of each piece of pastry with the egg wash.