Heat oven to 375°F. Spray cookie sheets with cooking spray. Remove dough from can; separate into 12 breadsticks. Cut each into 4 pieces; flatten each piece.
For each appetizer, place 1 olive in center of each piece of dough. Wrap dough around olive to completely cover, stretching dough to fit if necessary and pressing edges firmly to seal. Dip tops into beaten egg, then into sesame seed; place seam side down on cookie sheets.
Bake 11 to 14 minutes or until golden brown.
Meanwhile, in 1-quart saucepan, mix cheese sauce, tomato juice and ground red pepper. Cook over low heat 3 to 4 minutes, stirring constantly, until cheese sauce melts and mixture is well blended. Serve as dip with warm appetizers.