Preheat the oven to 200°C/gas mark 6. Lay the cocktail sausages out on a non-stick roasting tray and toss them in 2 tbsp of the curry paste. Roast for 15 minutes or until lightly golden-brown, then set aside to cool for a few minutes.
Lay the pastry out and cut it in half. Cut one half lengthways into roughly 2cm wide strips (the remaining pastry can be frozen to use another time). Brush the remaining curry paste on the top side of the pastry. Place a sausage on the end of one of these strips and roll until the middle is covered but the short ends are still exposed. Cut to release it from the strip of pastry and press to seal it together. Repeat with the remaining sausages.
Place on a baking sheet and glaze with the beaten egg, then bake for 18-20 minutes or until golden brown and puffed up.