Preheat your oven to 375°F.
Unroll the crescent roll dough and separate it into triangles.
Cut each triangle into three smaller triangles.
Place a cocktail sausage on the wide end of each smaller triangle and roll it up in the dough.
Beat the egg in a bowl and brush it over the tops of the pigs in a blanket.
Sprinkle salt and pepper over the tops of the pigs in a blanket.
Bake for 12-15 minutes or until the pastry is golden brown and cooked.
Serve hot with mustard, ketchup, or your favorite dipping sauce.
