Heat grill to 400°F. Remove husks from corn cobs. Drizzle olive oil over the corn cobs and use your fingers or a pastry brush to rub the oil over the corn. Grill corn on the preheated grill, turning every 3 minutes, until corn is cooked on all sides and beginning to char (about 20 minutes total).
Remove corn from grill and cut kernels from cobs. Place corn kernels in a medium bowl.
In a small bowl, combine cayenne, smoked paprika, and cumin.
Add 2 tablespoons lime juice, ½ of the spice mixture, the cojita cheese, and ¼ cup cilantro to the corn. Toss to combine.
In a separate bowl, whisk together the remaining tablespoon of lime juice, remaining ½ of the spice mixture, crema, and mayonnaise.
Grill hot dogs over medium-high heat until cooked to desired temperature.
Assemble hot dogs in buns, load with the corn mixture and then drizzle heavily with the crema mixture.
Sprinkle with more chopped cilantro and cotija cheese. Serve immediately.