Step 1

Preheat the oven to 375°F and set two oven racks in the centermost positions. Line two baking sheets with parchment paper.

Step 2

Using a paring knife, make a few small cuts into the casing of each cocktail sausage to prevent them from splitting in the oven.

Step 3

In a small bowl, whisk the eggs yolks with 1 teaspoon of water.

Step 4

Dust a clean work surface with flour and place one of the sheets of puff pastry on top. Sprinkle the pastry with flour as well. Using a rolling pin, roll the dough into a 12-inch square, flattening the seams with the rolling pin as you go. Using a pizza cutter or sharp knife, trim the edges so that they are straight. Cut the pastry into a grid, with strips about 1¼ inches wide and 2¼ inches long. You’ll be making about 8 vertical cuts and 4 horizontal cuts in the pastry (see the picture above for a visual reference; you'll need at least 40 strips and you may have extra).

Step 5

Working with one row at a time, starting at the bottom of the "grid," brush the bottom inch of the strips with the egg mixture. Set a cocktail sausage parallel to the egg mixture at the top end of the first pastry strip. Roll the sausage up into its dough "blanket," and press the free edge onto the blanket to seal it closed. The dough should overlap slightly on itself. Place the pig in a blanket, seam-side down, on one of the prepared baking sheets. Repeat with the remaining strips, setting them on the lined pan about 1-inch apart once rolled. Place the pigs in a blanket in the refrigerator. Discard any leftover pastry, wipe the work surface clean to remove any egg, and then dust with flour and repeat with the remaining pastry sheet and cocktail sausages. (There is no need to refrigerate the second batch, unless you don't plan on baking them right away. The pigs in a blanket can be made up to 4 hours ahead of time, covered with plastic wrap, and refrigerated before baking.)

Step 6

Brush the pigs in a blanket lightly with the remaining egg mixture, and then place the sheet pans in the oven and bake for 25 to 30 minutes, rotating the pans from top to bottom and back to front midway through, until the pastry is golden.

Step 7

Meanwhile, make the sauce: In a small bowl, whisk together the mayonnaise, mustard, honey, Tabasco, and vinegar.

Step 8

Transfer the pigs in a blanket to a serving platter and serve warm with the sauce.

Step 9

Note: Puff pastry dough is easiest to work with when cold, so work in batches, making the first batch (from one sheet of dough) before taking the second sheet of dough out of the refrigerator.

Step 10

Make-Ahead/Freezer-Friendly Instructions: The pigs in a blanket can be assembled up to 4 hours ahead of time, covered with plastic wrap, and refrigerated before baking. They can also be frozen until firm, then stored in freezer bags up to one month ahead. They can be put in the oven directly from the freezer; they may just take an additional minute or 2 in the oven.