Warm the milk to about 110 degrees in a saucepan; pour into a medium bowl. Sprinkle in the yeast and let soften for about 2 minutes. Stir in the olive oil, brown sugar and cornmeal with a wooden spoon. Add the flour, salt, baking soda and cayenne pepper; stir to make a sticky dough.
Turn the dough out onto a lightly floured surface and knead, adding more flour if needed, until smooth but still slightly tacky, about 5 minutes. Shape the dough into a ball, place in a lightly oiled bowl and cover with plastic wrap. Let rise in a warm spot until doubled in size, 45 minutes to 1 hour. Meanwhile, insert a wooden stick or small skewer into each hot dog half, about 1 inch deep; set aside.
Preheat the oven to 450 degrees and lightly oil a large baking sheet. Turn the dough out onto a lightly floured surface; divide into 18 pieces. With your palms, roll each piece into a 10-inch length. Wrap each piece around a hot dog half, tucking and pressing the edges to seal; place on the baking sheet.
Brush the dough-wrapped dogs with the beaten egg; sprinkle with sesame seeds, if desired. Bake until golden, 15 minutes.