Heat oven to 350°F. Cut cookie dough in half lengthwise; cut each half lengthwise into thirds, forming 6 (12-inch) triangular-shaped strips of dough. With fingers, roll each strip into rope; place 3 ropes on each ungreased cookie sheet.
Bake 11 to 14 minutes or until golden brown. Immediately, with handle of wooden spoon, make shallow indentation down center of each baked strip. Cool 5 minutes; remove from cookie sheets and place on wire racks. Fill each indentation with about 1 tablespoon jam.
In small bowl, mix all glaze ingredients until smooth, adding enough milk for desired drizzling consistency. Drizzle icing over each strip. Cut each strip diagonally into 8 cookies.