Rather than tucking a hot dog into a split bun, here the bun—actually a yeasted bread—is baked around the hot dog, ketchup and/or mustard included, similar to when making pigs in a blanket. But there’s more: here the buns are brushed with milk and sprinkled with grated cheese before going into the oven. These mini dogs are equally appropriate for a kids’ birthday party or a cocktail party for grown-ups, and are always best when still warm from the oven.