1. Preheat oven to 425 degree F. Unfold pastry sheet and roll out on a lightly floured surface into a 16x13-inch rectangle 1/8-inch thick. Trim edges so all sides are straight and cut into four 4-1/2x4-1/2-inch squares. Wrap each sausage link in a piece of pastry (pigs in a blanket-style) and place seam-side down on a baking sheet, making sure seams are tightly sealed. Repeat with remaining pastry and links. Brush tops with egg wash, and chill for 10 minutes.
2. Bake in middle of oven, seam-side down, until pastry is golden brown and cooked through, about 12 minutes. Transfer sheet to a rack to cool. Trim edges of each pastry-wrapped link and cut crosswise into 1/3-inch-thick coins. Serve at room temperature.