Heat oven to 350°F. Spray large cookie sheet with cooking spray. Separate dough into 8 pieces; roll each piece into 12 to 14-inch rope. On cookie sheet, place 4 dough ropes overlapping to look like asterisk; with remaining 4 dough ropes, make concentric circles to create spiderweb.
In small bowl, beat egg and water; brush over dough. Sprinkle with cheese.
Bake 12 to 14 minutes or until golden brown. Immediately remove from cookie sheet. Serve warm with sauce for dipping.