Place racks in upper and lower thirds of oven; preheat to 350°. Working one at a time, unwrap dough and brush with egg. Carefully sprinkle surface with sanding sugar and roll logs in sugar to coat well (really press dough into sugar so it sticks). Slice into rounds a generous ¼ » thick, rotating after every few cuts to keep slices round. Arrange cookies on parchment-lined baking sheets, spacing 2″ apart. Bake, rotating baking sheets top to bottom and front to back halfway through, until edges are just set, 12–14 minutes. Let cool on baking sheets.