Preheat convection oven to 350˚F and set proofing box to 110˚F.
Pull the thawed Conestoga® Sweet Roll Dough pieces out of the cooler and leave at room temperature for 30 minutes.
Press and flatten entirely each dough piece in a circular shape.
Cut the 6 slices of cheddar cheese in half, making 12 pieces. Place each piece of cheese on the flattened pieces of roll dough and place a sausage link on top. Roll the top end of the dough over the sausage and pinch to seal it with the bottom end. Proof seam-side down for 15 minutes.
Make egg wash by thoroughly whisking eggs and water in a small mixing bowl. Brush dough with the egg wash.
Bake for 10 minutes, or until golden brown, and serve.