I made the dough, which I rolled out between sheets of plastic wrap because it was very soft. Then I rolled up each hotdog with a slice of Cabot orange cheese product. Cooked it 10 minutes longer than the directions said, trying to make the dough go toasty brown. Never happened.
The dough puffed, the cheese didn't leak, it seemed successful...
... but it was far too crumbly to hold together. The dough was too sweet as well. Off-putting.
A more successful attempt at a gluten-free recipe for pigs 'n blankets can be found here.