In a large, bowl, mix cornmeal, flour, salt, cayenne, sugar and baking powder. Add milk and egg and whisk well, but don’t overmix. Refrigerate.
Meanwhile, make the honey mustard sauce by whisking all the ingredients together, set aside.
Line a baking sheet with paper towels (to transfer the corn dogs after frying). Rinse hot dogs and thoroughly pat dry with paper towels. Insert wooden skewers into hot dogs. On a plate or your countertop, dump out some flour and coat the hot dogs (in order to help the batter stick better).
After batter has been resting for at least 10 minutes, heat oil in a large pot, or Dutch oven, until it reaches 350 degrees F. If you don’t have a thermometer, you can drop a piece of batter in. When it rises to the top and turns golden, then the oil is ready.
When oil is hot, pat off any excess flour then dip/roll skewered hot dog into batter until completely covered. Sometimes this takes some finessing, but it will stick. I like to fill up a tall glass with batter that is a little taller than the hot dog, then dunk the hot dog in with the stick.
Cook 2-3 corn dogs at a time until golden brown in color, about 3 minutes. Remove with tongs and place on paper towels for draining. Serve with honey mustard sauce.