Leave the puff pastry to relax a bit if it's been frozen. But don't let it become too soft because it's much harder to work with in that case.
Cut the Vienna sausages in half lengthwise. Cut each sheet of puff pastry into 3 strips lengthwise.
Put a piece of Vienna sausage lengthwise in the middle of each strip and cover with puff pastry on top. If the puff pastry is way too soft, put the rolls in the freezer for a bit.
Then cut them into small bites with a sharp knife, arrange them onto a tray with baking paper and smear with a little beaten egg. Put them to bake in a moderately preheated oven until they puff up and gain an appetizing crisp.