1Heat oven to 425ºF. Spray cookie sheet with cooking spray.
2In 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 surface dusted with Bisquick mix; roll in Bisquick mix to coat. Shape into a ball; knead 10 times.
3Roll 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.
4Brush 1 tablespoon milk over dough; sprinkle with cheese. Bake 10 to 12 minutes or until golden brown. Serve with remaining pizza sauce, heated if desired.