Preheat the oven to 450F/220C (or as directed on the package). Move the rack to the center of the oven. Prepare a baking tray with a light coat of oil.
Form the pieces of dough into long ovals, based on the length of the hot dog. Pinch the sides to form a crust to hold the sauce and toppings.Transfer to the baking tray.
Top the dough with a little cheese, then spread a couple tablespoons of sauce on top.
Cut a few slices in the hot dogs, then place one in the center of each oval and add more cheese.
Bake for 10 - 12 minutes or until the dough is cooked through and the cheese has melted.
Before serving top with your favorite hot dog toppings.