Unroll your puff pastry. Lay the pigs in blankets evenly along the long sides of the puff pastry - 4 on each side.
Cut the brie into 8 pieces and put one piece next to each pig in blanket.
Slice the pastry in half lengthways, then cut evenly between each pig in blanket so that you have 8 evenly sized rectangles of pastry, each with a pig in blanket and piece of brie on them.
Fold over each piece of pastry to cover the pig in blanket and press to seal with your fingers, then use a fork to seal all the way around. Use a knife to pierce a small hole in the top of each one.
Beat the egg in a small bowl and use a pastry brush to brush the egg over the top of each sausage roll. Sprinkle with the fennel seeds.
Put on a baking tray and into the oven for 25-30 minutes, until risen and golden brown.