Place a rack in the middle of the oven and preheat it to 180 °C / 350 °F or fan-assisted oven to 170 °C / 340 °F. Line a large baking sheet with parchment paper.
pigs in a blanket
Unroll the puff pastry. Cut into sixteen 5 cm x 12 cm (2-inch x 5-inch) strips. Place sausage on one end of each stripe. Roll up each and place point-side down on a large baking sheet.
Whisk an egg and brush the pastry. Sprinkle with sesame seeds and place in the preheated oven. Bake for 20 - 25 minutes at 180 °C / 350 °F or fan-assisted oven at 170 °C / 340 °F.
Take the pigs in a blanket from the oven and serve with your favorite sauce or dip.