Heat oven to 375°F. Line two 15x10x1-inch pans with cooking parchment paper.
On work surface, roll dough sheet out to 14x11-inch rectangle. Cut vertically to make two 11x7-inch rectangles. Cut crosswise into total of 44 (7x1/2-inch) strips. Pat sausages dry with paper towels.
Wrap 1 strip of dough around each sausage to look like a little mummy; press firmly at each end to secure. Place on cookie sheet 2 inches apart for even browning.
Bake 15 to 20 minutes or until golden brown. Meanwhile, in small bowl, mix mustard and oregano. Serve sausages warm with mustard dip.