Pigs in a Blanket

MAKE DOUGH Line rimmed baking sheet with parchment paper. Pulse 2 cups flour, shortening, baking powder, salt, and cayenne in food processor until mixture resembles coarse meal. Transfer to large bowl. Stir in cream until combined. On lightly floured surface, knead dough until smooth, 8 to 10 times.

SHAPE AND FREEZE Roll dough into 15- by 10-inch rectangle. Brush dough with egg and cut into six 5-inch squares. Place remaining flour in shallow dish. Pat hot dogs dry with paper towels and coat with flour, shaking off excess. Arrange 1 hot dog in center of each dough square. Roll dough around hot dog and pinch seam closed. Cut each hot dog into 4 rounds and place on prepared baking sheet. Freeze until firm, about 30 minutes. Transfer to zipper-lock bag and freeze for up to 1 month.

BAKE Adjust oven rack to middle position and heat oven to 425 degrees. Arrange rounds, seam side down, on parchment-lined rimmed baking sheet. Bake until golden brown, 25 to 30 minutes. Let cool 10 minutes. Serve warm.