Split rolls; if tops are rounded, trim slightly. Spread inside of tops with mustard.
Arrange 2 cheese slices and 2 frankfurters on the bottom half of each. Replace tops. Wrap 3 or 4 bacon slices spiral fashion around each; secure with picks.
Place, top down, on a rack in a shallow pan. Bake at 400 degrees for 5-8 minutes. Turn and bake for 5-8 minutes more.