Unroll the crescent dough and separate into 8 triangles. Cut each triangle lengthwise into 3 thin strips to make 24 pieces total.
Wrap each cocktail sausage with one strip of dough, starting at one end and wrapping diagonally. Press the ends to seal.
Preheat your air fryer to 375°F for 3 minutes.
Brush each wrapped sausage with beaten egg and sprinkle with sesame seeds if desired.
Spray the air fryer basket with cooking spray. Place pigs in a blanket in a single layer, leaving space between each (work in batches if needed).
Air fry at 375°F for 6-8 minutes, until golden brown and the dough is cooked through.
Remove carefully and let cool for 2-3 minutes before serving with your favorite dipping sauces.