In a grill pan on medium heat, cook cocktail wieners until plump, about 5 minutes. Cook in 2 batches. Set aside.
On a clean surface, cut 4 large biscuits into sixths. Dump cheese into bowl and roll each slice of dough in the cheese to make little cheese balls. Gently stretch each ball to fit a mini hot dog. Wrap the dough around the mini dogs. Arrange pillow dogs on a sheet pan lined with parchment paper. Leave about 1-inch space between each roll. Bake for 10 minutes. Garnish with mustard, or desired topping. Serve warm.