Make 2 indentations for the octopus frank/octodog's eyes (with a chopstick or a straw) and cook them as you normally would (See instructions on how to make an octopus frank).
Once they have cooled down, fill the holes with a little cheese spread and wipe off any excess cheese. Add two little nori (seaweed) eyes for pupils - the nori will stick nicely on the cheese spread. This method would work for other sorts of animals, too. eg. fish-shaped franks, etc.