Set the oven to 220⁰C/425⁰F/gas mark7.  Oil a baking tray.

Put the flour into a mixing bowl.  Add the butter or margarine and rub in with your fingertips until the mixture resembles breadcrumbs.

Set a little cheese aside and add the rest to the flour mixture. Season with salt, pepper, mustard and cayenne.  Bind to a soft, spongy dough with half the egg and a little milk.

On a floured surface, knead the dough gently until just smooth.  Roll out to a rectangle a little less than 0.5cm thick.  Cut the dough into six strips 2.5cm wide. 

Wind the strips of dough in a spiral around the hot dogs making sure that there is only a little hot dog showing at each end and hardly any in between the joins of dough. Set on the baking tray.

Brush the hot dogs with the remaining egg wash and sprinkle with the saved cheese. Bake for 10 ? 15 minutes until the scone dough is crisp and golden brown.