- Preheat the oven to 200°C.
- Place the sausages onto a baking tray and drizzle over the olive oil. Transfer to the preheated oven and cook for 20 minutes, turning over the sausages after 10 minutes. Remove from the oven and leave to cool for 10 minutes.
- Meanwhile, cut 6 thin sticks from the block of Colby Cheese, 12cm long and ½ cm wide.
- Use a sharp knife to cut a pocket along the length of each sausage, taking care not to cut right through. Fill each sausage with a Colby Cheese stick, and then wrap a slice of bacon around each sausage to enclose.
- Preheat a BBQ or large fry pan over a medium heat. Carefully fry the sausages, turning often, for 5 minutes or until the bacon becomes crisp and the cheese has melted.
- Place each sausage inside a hot dog roll with a little BBQ sauce. Serve immediately.