Preheat oven to 400°F and line a baking sheet with parchment paper.
Unwrap puff pastry and place on a well-floured surface. Pass a rolling pin over the pastry a few times to even out any bumps and make it just slightly thinner. Using a sharp knife or pizza wheel, cut into 3-inch-wide strips, then cut each strip into 1½-inch sections. You'll need 28 pieces. (You may not need all the pastry; you can refreeze what you don't use.) Wrap each cocktail frank in a strip, rolling it so just the tips of the franks stick out. Use your fingers to moisten the edge of the pastry with a little water and press gently to seal the edges. Place seam-side down on the baking sheet and freeze for 10 minutes.
Remove the baking sheet from the freezer. Brush the tops of the pastry with egg whisked with water. Bake until dough is puffed and deeply browned, about 20 minutes.
Meanwhile, combine cranberry sauce, mustard and 3 tablespoons water in a blender until very smooth. Serve the cocktail franks warm with the cranberry sauce on the side for dipping.
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