Heat oven to 425^. Spray cookie sheet with cooking spray.
In medium bowl, stir Bisquick mix, 1/3 cup milk and 2 Tablespoons of the pizza sauce with fork until soft dough forms; beat 30 seconds. Place dough on surfacee dusted with Bisquick mix, roll in Bisquick mix to coat. Shape into a ball; knead 10 times.
Roll dough into 12x8-inch rectangle. Cut dough lengthwise into eight 1-inch strips. Shape 1 piece of dough around each hot dog in a spiral design; seal ends if necessary. Place on cookie sheet.
Brush 1 Tablespoon milk over dough; sprinkle with cheese. Bake 10-12 minutes or until golden brown. Serve with remaining pizza sauce, heated if desired.