Cut 1 (18-ounce) package refrigerated sugar cookie dough into 1/4-inch slices. Wrap each slice around 1 miniature chocolate-coated caramel-and-creamy nougat bar. Place on ungreased baking sheets. Bake at 350° for 13 to 15 minutes. Cool 1 minute; remove to a wire rack. Dust with unsweetened cocoa, if desired.
Note: For testing purposes only, we used 1 (8-ounce) package Milky Way Miniatures.