You can make it with purchased puff pastry but I really like to use an yeast dough for them. The easiest way is to buy dinner rolls from your grocery store frozen section, like the Rhodes white dinner rolls. For the dogs I am using cocktail links/ mini sausages from Hillshire Farm.
Open the bag of sausages, drain the liquid and dry each dog with a paper towel. Count how many you have if you don't have this info on your package.
Now, get half the amount of the dinner rolls as you have the number of dogs. Place them in oiled glass dish about 2" apart and cover with the clear film. Wait until your rolls will increase in size (it will take about 5 hours at room temperature).
Prepare the baking sheet and spray it with non-stick spray.
Divide each roll into 2 parts. Make a long strip from each part and wrap it around the mini sausage.
Place them on baking sheet and repeat the process until you are out of dough and sausages.
Bake in a preheated oven at 350'F until golden in color. Serve warm or cold, they are delicious in any way!