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Step 1
Preheat the oven to 400° and have ready a sheet pan lined with a silicone baking mat or parchment paper.
Step 2
Pat the sausages dry using paper towels and with the tines of a fork, poke two sets of holes in all of the cocktail sausages. Set aside until ready to use.
Step 3
Whisk together flour, baking powder, sugar, and salt. Add milk and butter and stir until combined.
Step 4
On a floured work surface, pat out the dough, dust it with flour and using a rolling pin, roll it out into a rectangle, about an 1/8" of an inch thick.
Step 5
Cut lengthwise strips, about 1" wide. Then cut 2 1/2-3" sections across the strips. You should have about 20 rectangular strips. Combine any dough scraps and repeat with what's left. Place a cocktail sausage at the end of each strip and roll it to close. Place seam-side down on prepared baking sheet. Repeat until all are assembled.
Step 6
Bake for 15 minutes, serve, and enjoy!