I watched a food ntework show sandra lee and she made pillow dogs
you take can biscuits cut them in 1/4's and shape them around the mini dogs and bake. I made them with ketchup and mustard dipping sauce for one of my grandkids b'day- big hit!
Here's the link to it
I didn't heat the dogs first like she did - I put them in the oven as is
Another one I have done is cresent rolls - cut them into 3rds and roll them around the lil dogs.
I supose puff pastry would work too cut small strip