Dissolve the yeast in half the heated milk, along with 1 tbsp sugar and 1 tbsp flour.
Stir and leave the mixture in a warm area for 10 min. to bubble. Sift the flour with the salt, add the remaining milk and sugar to them, as well as the now effervescent yeast.
Knead a soft dough and add the oil, continue kneading another 10 min. or until you get a nice stretchy dough. Form it into a ball and put it in an oiled bowl.
Cover with a towel and leave in a warm area to rise. Then divide it up into equal-sized balls. Roll out each one into a small, oval pita. Put a Vienna sausage at one end, make cuts on the other end that are perpendicular to the sausage.
Wrap them up and arrange the pigs in a blanket in an oiled tray. Leave them covered to rise for another 15 min. Smear them with an egg pre-beaten with the milk and bake in a 428°F (220 °C) oven for 10-15 min.