Preheat oven to 400 degrees F. Line an extra-large baking sheet with parchment paper; set aside. Roll out the pastry slightly to a 12x12-inch square. Cut into thirds. Cut each third crosswise into 12 4x1-inch strips (36 total strips). Place a hot dog in the center of each pastry strip. Fold each end over the hot dog.
Arrange wrapped hot dogs on prepared baking sheet. Brush with milk and sprinkle with cheese, if desired. Bake about 18 minutes or until golden.