Heat oven to 375 degrees. Slice a few hot dogs the long way, do not slice all the way through. Take a slice of cheese and place this into the slit of each hot dog.
Take a package of crescent roll dough and seperate each crescent roll piece. Place a hot dog on a piece of the crescent roll dough and roll it up as if in a blanket. Place each rolled up hot dog on an ungreased cookie sheet and bake in the over for 12 to 15 minutes or until the dough is golden brown.
I suggest getting some popsicle sticks and sticking them inside the cooked pig in a blanket so it's easier for your child to hold and eat.