Meanwhile, prepare the dogs: Slice cocktail wieners lengthwise down the center, being careful not to cut all the way through. Divide cheese slices into small pieces and place a piece or two in each slit.
Shape dough into a ball; place in a lightly oiled bowl, turning once to coat. Cover bowl with plastic wrap and let dough rise in a warm place 1 to 1 ½ hours until doubled.
Add flour, salt and melted and cooled butter. Use the dough hook attachment or a wooden spoon to stir until a dough forms. Increase mixer speed to medium and knead 4 to 5 minutes until dough pulls away from the sides of the bowl and is smooth, soft and elastic; OR, transfer dough to a lightly floured surface and knead by hand 8 to 10 minutes until dough is smooth, soft and elastic.
First, make the dough: In a large bowl or bowl of a stand mixer, combine warm water and sugar. Sprinkle yeast on top and let sit 5 to 10 minutes until foamy.