Preheat the oven to 180°C. Peel the mini chorizos and roll them in your hands to make a sausage shape.
Lay the mini chorizo lengthways along each piece of pastry. Roll and fold the pastry over the chorizo brushing the inside with egg yolk to help seal.
Using a fork seal the edges and trim any excess pastry, Cut the sausage rolls into individual rolls and place on a baking tray, lined with greaseproof paper. At this point you can transfer to a freezer-safe container, lined with greaseproof paper to cook from frozen later. Please note, cooking times will increase when cooking from frozen and you may need to lower your oven temperature slightly.
Brush with egg yolk and sprinkle with fennel seeds.
Bake for 15-20 minutes or until the pastry is puffed and golden brown.
Serve with a large glass of Rioja!