Pigs in blanket come pre-packaged. There are two ways you can defrost them. 1) Heat the package with a microwave. This works very well for most of the popular brands, but they tend to leak fat onto the food while heating it and some packages may be more susceptible to leaking than others. I've never had a problem with it leaking as long as you use only one package at a time and place it in between microwave slices of glass (like on top of baking soda), or use ceramic if available, like Teflon coated or pyrex glass plates like mine below:
2) You can also keep fresh pigs in blankets frozen and take them out once they have thawed just enough that your pork will melt under their own heat.