Thaw 1 (about 17-ounce) package frozen puff pastry according to package directions or at room temperature for 30 minutes. Take it out of the box for thawing but keep in the paper packaging to prevent it from drying out. Meanwhile, beat 1 large egg with 1 tablespoon water in a small bowl.
Remove the casings from 1 pound pork sausage if needed. Place the sausage, 1 tablespoon finely chopped fresh thyme leaves, 1 tablespoon Worcestershire sauce, 1/2 teaspoon ground sage, 1/2 teaspoon onion powder, and 1/2 teaspoon ground white or black pepper in a large bowl. Mix with clean hands until well combined. Refrigerate at least 15 minutes to firm up. Meanwhile, arrange a rack in the middle of the oven and heat the oven to 400℉. Line a baking sheet with parchment paper.
Unfold the 2 puff pastry sheets onto a lightly floured cutting board (if there is just one sheet, cut it in half crosswise). Roll each sheet out with a rolling pin into a 10x9-inch rectangle. Cut each sheet in half lengthwise to make 4 (10x4 1/2-inch) rectangles. Arrange the rectangles vertically so a short side is closer to you.
Divide the sausage mixture into 4 portions. Using wet hands and a bench scraper if needed, roll each portion into a log about 10 inches long, 1-inch wide, and 1-inch thick. Place a sausage roll lengthwise in the middle of each pastry rectangle.
Brush the edges of the pastry with the egg wash. Working with 1 rectangle at a time, roll the the left and right sides of the pastry over the sausage to meet and overlap in the middle. Carefully press down to seal the seam. Use your hands to form each side to create a compact log shape. Arrange seam-side down.
Cut each roll crosswise into 6 (just over 1 1/2-inch) pieces. Arrange seam-side down on the baking sheet, spacing them about 1-inch apart. (If you prefer larger sausage rolls to serve as a meal, cut into larger pieces.) Generously brush the tops and sides of the pastry of each sausage roll with the remaining egg wash.
Bake for 12 minutes. Rotate the baking sheet and bake until the pastry is cooked and puffed, the tops are evenly golden-brown, and the sausage is cooked through, 8 to 12 minutes more. Transfer the sausage rolls to a wire rack abnd let cool for 5 to 10 minutes. Serve warm, at room temperature, or even cold with the dipping sauce of your choice.
