How can I prevent pastry becoming soggy when it has a filling and is stored overnight?
At work the butcher makes 100's of sausage rolls in batches. We then cook 1/4, fridge 1/4 and freeze 1/2. We never have any issue with them being soggy, regardless of storage method. To be honest in a taste test you'd have no idea which was which.

Also once cooked (as long as cooked properly) they don't go soggy for at least 2 days in the fridge. 

I'm assuming you will be using puff pastry as per tradition. If so don't forget to allow the rolls to stand at room temp for 15-30min before cooking as it will help with the "puffing".