Preheat oven to 350 degrees. Lightly coat a baking sheet with cooking spray.
Unroll refrigerated croissant dough, breaking into 4 square sections. Pinch together perforated sections and cut into 5 1-inch strips.
Place a pinch of shredded cheese on the edge of each strip, topping with a cocktail wiener and then rolling all the way up. Place on the cooking sheet seam side down.
Repeat with remaining croissant dough and cocktail weiners.
If desired, whisk together egg and cream. Lightly baste the top of each cheesy pig in a blanket and then sprinkle with sesame seeds.
Bake for 13-15 minutes or until the tops are browned. Serve with honey mustard, BBQ or ketchup sauce.