Everyday in UK I'm always trying to know the meaning of every British English words which I'm not familiar for I am using American English as my second language. I consult with my British friend what's the meaning of that and what is that kind of stuff?
At first he laughs because he knows what's on my mind. Pigs in blankets is a colloquial British name given to a sausages wrapped in bacon (streaky bacon is most common). Bacon is the blanket. It is now considered a traditional part of the Christmas meal.
One way of surviving in UK is to know also their own language or else you might get lost.