We have a little cotton IKEA rug in front of the door. The dog likes it. Specifically he likes to step onto the rug, bend nose to tail, and go roundandroundandround. When said rug is cocooned round his legs he will drop down at last and sigh.
We look at him funny. We ask him what he thinks he is doing. He wiggles his eyebrows at us but that's all.
Luckily, the Straight Dope has already answered the burning question of why dogs circle before lying down.