Thaw the rolls according to bag instructions. I use one roll for two pepperoni rolls. You have to set them out on a plate under plastic wrap to thaw for a bunch of hours. I usually do 7 (which makes 14 pepperoni rolls).
After they've thawed (and are big and poofy and look really cool), resist the urge to pop them, and cut them in half. Plop pepperoni slices in each roll (I usually use 3 per roll), then roll them up gently and put them on a baking sheet. Bake according to bag instructions (like 350 degrees) until they are golden brown.
You can add cheese if you want, but it makes the pan clean-up a lot harder and in my opinion, not worth it. The kids love these left over, either warmed in the microwave or cold.