Preheat the oven to 400 degrees.
First, combine all the cheese mixture ingredients in a bowl.
Now, place one hot dog on the upper left corner of the puff pastry. Using the hot dog as a guide, cut a square out of the pastry that will fit around the whole hot dog. Watch the video above to see me do this.
Next, remove the hot dog to spread a generous amount of the cream cheese mixture over the pastry square.
Now place the hot dog back on the square and wrap the pastry around the hot dog, using the cream cheese as "glue" to hold it together.
Next, brush the top of the pigs in a blanket with egg and then sprinkle with seasme seeds.
NOTE: before putting in the oven, make sure the puff pastry is cold. If its not cold, put it in the fridge for 20 minutes first so you get the signature flaky puff pastry.
Finally, cook in an oven at 400 degrees on the middle rack for 20 minutes.