Okay, I now have a better idea of what you're talking about. I've got two bakeries near me that make different versions of the same thing. One is French and they use a croissant dough - very light and flakey like a croissant, the other is Czech and they use a yeast dinner roll dough - the texture is like a dinner roll. There used to be a bakery downtown that I would frequent, when I was working downtown, that also made them like the Czech bakery.
Here is a site with a basic yeast roll recipe: http://southernfood.about.com/od/yeastbreads/r/bl10817j.htm
After the first proofing ... I would punch the dough down, divide into 2-4 pieces, roll it out about 1/4 thick, cut into squares big enough to roll up the sausage, pinch the seam together, and place on a greased baking sheet seam side down about 2 inches apart, and allow to proof the 2nd time before baking.
Humm .... wet piggies .... although they are cooked they do still contain a bit of fat which could melt and make your dough wet/soggy around them. One possible solution might be to simmer them in water for about 5-15 minutes, strain, drain and blot dry, and cool to room temperature, before rolling in their dough blanket. This should render out some of the fat.
I'll admit that I've never tried to make them from scratch ... I either picked them up at the bakery or used canned cresent rolls which never were as good as the ones from the bakery. But, now you've got me missing them so I'll have to break down and try to see what I can come up with.