In a large bowl, combine flour, salt, sugar, and yeast.
Add warm water and olive oil to the dry ingredients.
Knead the dough on a floured surface for about 5-7 minutes.
Place the dough in a greased bowl, cover it, and let it rise for 1 hour or until doubled in size.
Preheat the oven to 400°F (200°C).
On a floured surface, roll out the dough into a large rectangle.
Cut the dough into squares, approximately 4x4 inches.
Place cheese, pepperoni, and a teaspoon of pizza sauce onto the center of each square.
Fold the squares over to create triangles and press to seal.
Place the pockets on a greased baking sheet and brush with olive oil.
Bake for 15-20 minutes or until golden brown.