Heat oil in a large saucepan; add onion and saute until tender.
Add the next 11 ingredients and stir until well mixed.
Add lemon slices.
Bring mixture to a boil.
Lower heat and simmer, uncovered, for 20-25 minutes or until slightly thickened, stirring occasionally.
Take out lemon slices and discard.
Place hot dogs in a 13x9 inch baking dish.
Top with sauce.
Bake, uncovered, at 350 degrees for 18-20 minutes or until heated through.
Serve warm with tooth picks.
