Preheat the oven to 375 degrees F. Line a baking sheet with parchment and spray with nonstick spray.
For the heads: Divide the dough into eight 2-ounce pieces. Pinch a marble-size piece of dough from each piece and set aside. Roll each large piece of dough into a tight ball and arrange on the prepared baking sheet about 2-inches apart.
Beat together the milk, egg and salt in a small bowl.
Snip a tiny slit in the back of each dough ball, close to the bottom and pull out to make a tail. Working 1 at a time, brush the dough balls all over with the egg wash. Pinch 1 of the reserved marble-size pieces of dough in half. Flatten half into a round pig nose. Stick onto the dough ball where it starts to curve down to the baking sheet opposite the tail. Stick 2 toothpicks in each nose to make nostrils (leave the toothpicks in while the rolls bake). Form 2 triangle-shaped ears from the other half of the reserved piece of dough. Press into the top of the dough ball so that the 2 pieces are touching; stick a toothpick into the back of each ear to keep it in place while baking. Press 2 sesame seed eyes between the nose and ears.
Bake until the pigs have risen and are golden, 15 to 18 minutes. Cool on a rack. Remove the toothpicks. Serve warm or at room temperature.
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