Preheat the oven to 200°C, fan 180°C, gas 6. Skin the sausages and put in a bowl with the onion, sage and fennel seeds. Season with freshly ground black pepper and mix well.
On a lightly floured surface, roll out the pastry to a thickness of 3mm. Stamp out 16 discs using a 9cm cookie cutter, and another 16 discs using a 6cm cookie cutter.
Place the larger discs on a baking tray. Place 1 dessertspoon of the sausage mix in the middle of each disc and top with the smaller pastry discs.
Brush the edge of the larger discs with some of the egg, then bring up the edges to enclose the filling. Crimp the edges of the large discs with your thumb and finger. Brush each pie with egg.
Bake for 18-20 minutes until the pastry is golden and the filling is cooked through with no pink remaining.