Preheat oven to 350° F.
Prepare the sauce by combining the ingredients in a small bowl. Stir well, cover and refrigerate until ready to serve.
Prepare a baking sheet by lining it with parchment paper.
Lay another sheet of parchment on your work surface. (Optional, but makes clean-up easier.)
Cut each of the sausages into 4 equal pieces. (They're easier to cut using a serrated knife when well chilled, but not frozen solid.)
Place the dough balls on the parchment paper work surface. Using a knife or pizza cutter, cut each of the dough rounds into quarters (four pieces).
Shape the dough pieces by hand. Form strips of dough roughly the width of, and long enough to wrap around, the pieces of sausage. Wrap each of the pieces of sausage with dough (keeping dough to the center and leaving ends open). Place the wrapped sausages - seam side down - on the parchment-lined baking sheet .
In a small bowl, lightly beat the egg. Using a basting or pastry brush, brush the egg wash on the top and sides of the dough on each sausage rolls just before baking. (The egg wash is optional, but gives the baked dough a beautiful golden brown color.)
Sprinkle the egg washed rolls with sesame seeds or dried herbs just before baking (optional).
Bake at 350° F for 10 minutes. Rotate the pan, and bake for another 10 minutes (about 20 minutes total), or until the internal temp of the sausages is 160° F and the dough is golden brown. Serve warm with plenty of Easy Sauce.