Lol, If i'd make it it would take ALOT of space, Since I'm learning from the wiki book now o.o... Subsurfz alotz..... Lol + I don't really know how to make a 3d hot dog from scratch
EDIT: Never mind that, I'm just, uhm, out of idia's xD
For the bun: Create a cube and model it to the shape of the bun...as you regularly would. Subsurf smooth the two sides of the hotdog seperately. That would give it that round look. Then subsurf the bottom of it.
For the weenie: Create a cylinder, extract one end of it. Constantly extract near the end and just make it smaller and smaller as you go. Do the same for the other side.
For mapping the texture: You would have to select the faces and allign them in an abnormal way...as in...Select two side parts of the bun and allign them. Then select the bottom part of the bun and perhaps allign it on the side..Idk.