Preheat your oven to 375°F (190°C).
Line a baking sheet with parchment paper for easier cleanup (optional).
Open the can of crescent roll dough and unroll it onto a clean surface. Do not separate the triangles yet.
Using a knife or pizza cutter, cut the dough into 12 equal rectangles.
If desired, sprinkle a small amount of shredded cheese onto each piece of dough for added flavor.
Place a mini hot dog at the wider end of each rectangle and roll it up towards the point, enclosing the hot dog completely.
Place the wrapped hot dogs on the prepared baking sheet, seam side down.
If using, beat the egg in a small bowl and brush it over the tops of each pig in a blanket for a golden finish. You can also sprinkle sesame seeds on top if you like.
Bake in the preheated oven for 12-15 minutes, or until the crescent rolls are golden brown.
Remove from the oven and let cool slightly before serving.