Yesterday I made hot dog buns for bratwursts. I used the same dough as I used to make hamburger buns a while ago. (Looking at that post, I can't believe I'm even posting this as the pictures really aren't very great in comparison.)
I shaped these almost like you would a baguette and they seemed to hold their shape well enough after rising.
The only change to the recipe was to replace a half cup of the water for milk since I didn't use dry milk powder, though it still tastes really great and shows the excellent versatility of this recipe. The taste is outstanding and you won't get that straw-like consistency you have with store-bought buns.
Here's my almost but not quite Chicago-style bratwurst.
I will be submitting this to YeastSpotting.