Place 12 frozen dough 2-3 inches apart on a baking sheet lined with parchment paper or baking mat. Spray the top of frozen dough with cooking oil and cover with saran wrap. Let it rise for 3.5-4 hours.
Pre-heat oven to 375ºF.
Pat dry sausage links. Using a rolling pin, roll one risen dough into a flat rectangular/oval shape. Place one sausage link on one side of the dough.
Wrap sausage link with dough. Apple pressure to press and seal dough. Place sausage + dough seam side down on a baking sheet line with parchment paper or baking mat.
Repeat Step 3-4 for the rest of the sausage links and dough balls. Make sure to keep them ~2 inchs apart from each other when placing them on baking sheet - you will probably need two baking sheets.
Let rolled sausage+dough sit and rise for 1 hour.
Combine egg and milk. Beat to mix well. Brush egg wash onto the top of each kolache pastry.
Bake for 15-17 minutes (middle rack) or until top is golden brown. Check at 15 minute mark to see if it is done.
Serve and enjoy!