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Unwrap the puff pastry and cut it lengthwise into thirds, along the perforation. Cut each third crosswise into 10 strips.
Wrap each piece of sausage with a strip of puff pastry, brushing the edge with water and then pressing gently to seal. Place seam-side down on the prepared baking sheet.
Bake until the pastry is puffed and golden, 20 minutes.
Serve the pigs-in-a-blanket with skewers and the dipping sauce on the side.