Cook sausages in skillet over medium heat; remove form pan and let cool. Preheat oven to 400. Cut pastry sheets into 24 rectangles slightly larger than sausages. Put a slice of cheese in center of each pastry rectangle and top with a sausage. Top with another piece of pastry. Fold down one corner and pinch the edges together. Put on baking sheet and bake for 15 to 18 minutes or until pastry is golden and puffed. To make the dipping sauce, mix all ingredients in a bowl. Serve the pigs with dipping sauce. Makes 6 servings. Variation: Put each sausage link on the corner of a cheese covered pastry square and roll up . This version requires half the amount of puff pastry.
Cooking the Costco way