In a large nonstick skillet, heat 2 teaspoons oil over medium heat. Add sausage, onion and peppers. Cook until sausage is no longer pink and vegetables are tender, breaking up sausage into crumbles. Add garlic; cook 1 minute longer. Drain.
Stir in sherry, 1 teaspoon each oregano and rosemary, vinegar, salt and pepper; heat through. On a lightly floured surface, divide each loaf of dough into six portions. Roll each into a 6-in. circle. Brush with remaining oil; sprinkle with remaining oregano and rosemary.
Spread 1 tablespoon pizza sauce over half of each circle to within 1/2 in. of edge. Spoon about 1/4 cup sausage mixture over sauce. Sprinkle with 2 tablespoons cheese. Fold dough over filling; press edge with a fork to seal. Cut a small slit in top.
Meanwhile, preheat oven to 400°. In a small bowl, whisk egg and water; brush over calzones. Bake 12-15 minutes or until golden brown. Warm remaining pizza sauce; serve with calzones. Freeze option: Freeze cooled calzones in a resealable plastic freezer bag. To use, reheat calzones on a greased baking sheet in a preheated 375° oven until heated through.
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