Cut each triangle of crescent roll dough into thirds lengthwise, making 3 thin strips from each roll.
Place one slice cheese on the larger end of the dough. Place a cocktail frank on the cheese and roll up.
Arrange pigs, seam side down, on baking sheet. Combine egg and milk in small bowl. Brush with egg wash and sprinkle with salt. Bake until golden brown, about 12 to 15 minutes. Serve with Dijon mustard.