Preheat the oven to 375°F. Working quickly while cold, unroll the crescent dough sheet on a lightly floured surface and separate the perforated dough into 8 triangles. Cut each dough triangle into three equal skinny triangles.

Place 1 cocktail sausage on the wide base of 1 skinny triangle. Roll the sausage toward the pointed end of the triangle, allowing the dough to overlap and wrap around the sausage. Place the rolled sausage on a parchment-lined baking sheet, point-side down. Repeat with the remaining dough triangles and sausages.

Whisk together the egg with 1 teaspoon water in a small bowl until smooth. Brush the egg wash over the dough and sprinkle with the everything bagel seasoning, if desired. Bake until the dough is puffed and golden brown, 12 to 15 minutes.

Make the dipping sauces (optional): For the Spicy Mayo Dipping Sauce, stir together the mayo and chile-garlic sauce in a small bowl until smooth. For the Maple-Dijon Dijon Dipping Sauce, stir together the mustard and syrup in a small bowl until smooth. For the Quick Ranch, stir together the sour cream, pickle juice, and chives in a small bowl until smooth.

Serve the pigs in a blanket warm with Spicy Mayo, Maple Dijon, or Quick Ranch Dipping Sauces.