On a lightly floured surface, roll out your puffy pastry sheets until they're about about 12 X 12 inches.
Slice each puffy pastry sheet into thirds across and down so that you have 9 squares total, then brush the honey mustard along the bottom of each square.
Take a hot dog and place it on the honey mustard half, then roll it up, pressing the seams to seal. Repeat with each hot dog. Cut each hot dog pastry roll at an angle into thirds or small, bite-sized pieces.
Brush the tops lightly with your egg wash, then garnish if you want a topping.
Place the pigs in a blanket pieces onto a parchment lined baking sheet and freeze for about 1 hour or until firm. If you want to bake them later, transfer them to a plastic bag of freezer-friendly container.
Whenever you're ready to bake your pigs in a blanket, heat your oven to 400 degrees, then bake until puffed and golden, about 25 minutes. Do not thaw your pigs in a blanket; take them directly from the freezer to the oven.
