In a mixing bowl, mix together cream cheese and powdered sugar with a hand mixer on low speed until smooth. You want a pie dough consistency. Add cinnamon oil and mix well.
Divide the dough in half. Add red food coloring to one half to achieve the desired color. Divide each color into thirds. On a powdered sugar coated surface (I used a Silpat) roll one third of the white dough into a rope and one third of the pink dough into a rope. Twist the ropes around each other.
Shape dough into 1/2 inch balls (I used the small end of a melon baller to portion out the dough) and roll in granulated sugar.
Place on baking sheets, flatten with a fork, and allow to stand 1 hour to harden. Store in airtight containers in refrigerator.