Heat oven to 375°F. Line large cookie sheet with foil or cooking parchment paper.
In 10-inch skillet, heat oil over medium heat. Cook sausage in oil 5 to 8 minutes, stirring occasionally until no longer pink. Remove from heat; stir in cheeses.
Unroll dough on lightly floured work surface. Using 4-inch round cookie cutter, cut 6 rounds from each crust. (Reroll scraps and cut additional rounds, if desired). Lightly brush rounds with egg.
Spoon 1 heaping tablespoon sausage mixture on half of each round. Fold other half over filling; press edges with fingers or fork to seal. Lightly brush tops with egg.
Bake 10 to 15 minutes or until golden brown. Serve warm.