Cook the sausages according to your package instructions. For these smoked hot dog sausages (pictured below), I’ve simmered them in hot water for about 6 minutes.

To a sheet pan, covered with parchment paper for easier cleanup, add the hot dog buns. To the buns, add the sausages, chili dog sauce, and top with shredded cheese.

Preheat the oven to 390°F (190°C/170°C fan). To the preheated oven, add the sheet pan with the hot dogs. Bake until the cheese is melted, about 7-8 minutes.