Preheat oven to 375°F Grease two baking sheets. Unroll dough; separate along perforated lines into 24 triangles. (Spray hands with nonstick cooking spray as necessary to prevent dough from sticking to them.).
Cut one piece of dough with serrated knife into three smaller triangles by cutting through widest corner. Repeat with nine additional pieces of dough. Slice remaining 14 pieces of dough in half.
For Grubs: place 1 cocktail frank on longest side of a larger triangle; fold sides over ends of franks; roll up to opposite point, pinching dough as necessary to completely cover frank.
Place point side down on prepared baking sheet. Bake for 11 to 15 minutes or until deep golden brown. Immediately remove from baking sheet to wire rack; cool completely.
For Bugs: place 1 cocktail frank on shortest side of a smaller triangle; roll to opposite point. With point facing down, poke 3 pretzel pieces into dough along each side to make legs.
Place seam side down on prepared baking sheet. Repeat with remaining smaller triangles. Bake for 11 to 15 minutes or until deep golden brown.
Immediately remove from baking sheet to wire rack; cool completely.