Preheat oven to 210°C bake. Line an oven tray with baking paper.
Place pastry on a sheet of baking paper. Using a knife, cut a small opening at the end of each sausage. Squeeze out sausage meat onto pastry and spread out evenly, leaving a 2cm border on the two long edges.
Grate cheese. Sprinkle cheese on top of the sausage meat. With the long end facing you, roll up pastry like you're making cinnamon rolls. Roll as tight as you can, then cut the roll in half, then in half again and again, making 8 pieces. Brush pastry with milk and sprinkle over sesame seeds.
Bake for 20 minutes, or until golden and puffed up. After baking, immediately transfer to a baking rack to cool.