1 package hot dogs, though you can substitute sausage or less traditional types of hot dogs, like turkey or tofu
1 package puff pastry dough
1 egg yolk, optional

Defrost the Puff Pastry Dough
Their preparation couldn't be easier. Remember these three words: defrost, preheat, and roll.

First, defrost the dough according to the manufacturer's instructions on the package. This takes about 40 minutes.

Preheat your oven 400 degrees Fahrenheit, again according to dough package instructions.
Prepare the Dough and Hot Dogs
Once defrosted, separate the dough into squares. If you would like the dough a little thinner, you can use a rolling pin to flatten them out.

I got extra-long hot dogs this time, so I'm going to cut them in half before I roll them into any kind of puff pastry dough.
Make the Pigs in a Blanket
Place a hot dog in the center of a square of dough and roll the dough up around the hot dog.

Place on an ungreased baking sheet, making sure the dough overlap is underneath the piggie so it will not come apart in the oven, especially as the dough rises.

If a finished golden color is desired, paint each piggie with a little bit of egg yolk. This egg wash will help warm the color as it bakes in the oven.
Cook and Serve the Pigs in a Blanket
Follow the baking instructions on the dough package for the correct baking time. This is usually about 15 to 20 minutes.

Homemade pigs in a blanket look delicious, and they are really a home run hit with everybody.

Source: southernfood.about.com