Preheat oven to 425°. Line a large, rimmed baking sheet with parchment paper and grease with cooking spray.
Cut biscuits into quarters until you get 24 even pieces. Cut the D&W Cheddarwurst into bite sized pieces. Flatten out and wrap the dough around Cheddarwurst.
Meanwhile, in a large, shallow skillet, add 2 inches of water. Whisk in baking soda and bring to a boil over high heat. Reduce to a simmer, and in small batches, cooking until dough is puffy, about 30 seconds.
Transfer to baking sheet using a slotted spoon and sprinkle with coarse sea salt. Repeat process until all pigs are cooked.
Bake them in the oven until deeply golden and shiny, 22 to 25 minutes.
Remove from oven, wait until cooled and enjoy with D&W Jalapeño Mustard.