Preheat oven to 400°F. Line a baking sheet with foil or parchment paper.
Wrap each little smokie with a small piece bacon. Secure with a toothpick. Place brown sugar into a small bowl. Add a pinch of cayenne pepper if desired, Then roll smokie in the sugar. It's best to do this not on the pan so there isn't excess brown sugar.
Bake for 15 minutes, then flip and bake another 10-15 minutes or until bacon is crisp. Remove some of the excess grease with a paper towel when you're flipping them if there is an excess.
Transfer to a paper towel lined plate to absorb any extra grease.
Make ahead: These can be prepped up to 24 hours in advance. Cover with foil or plastic wrap and refrigerate the pan until ready to bake. For serving: Place in a slow cooker on low to keep warm.