Wrap each sausage in a piece of bacon and place it on the baking sheet.
Bake for 20 minutes or until the bacon is cooked.
Remove the sausages to a paper towel lined plate and serve
This can be prepared a day ahead of time, especially if you are making a lot. Store the baked pigs in a blanket in a tightly covered container in the refrigerator. Heat as many as you want to use in the oven prior to serving.
Recipe by Gluten-Free Homemaker at http://glutenfreehomemaker.com/pigs-blanket-british-style/