Sprinkle this mixture on a clean surface. Place the pastry sheet on top of mixture. Sprinkle pastry sheet with the remaining mixture. Using rolling pin gently roll the pastry sheet so the cinnamon sugar sticks really well into the pastry.
Roll the pastry from the short sides to meet in the middle. Wrap pastry in saran wrap and refrigerate for 30 minutes.
Preheat oven to 400. Remove pastry from refrigerate and slice. Place slices on parchment paper and bake for 12 minutes. Remove from oven and turn them over and bake an additional 7 minutes, both sides will be nice and brown.
Allow to cool. In the meantime mix together powdered sugar and milk. Drizzle over cool cookies. Allow the icing to set before placing in containers.