Preheat oven to 375 degrees. Divide cookie dough into fourths. Rolling each between your hand and a lightly floured surface, shape into ropes about 1/2" thick. Place ropes on an ungreased baking sheet about 2" apart. With side of your little finger, press a long groove down length of each strand. Bake 10 minutes. Spoon jam or jelly into groove. Bake 5 to 10 minutes longer or until edges are lightly browned. In a small bowl, beat powdered sugar and milk to make a glaze. Brush or drizzle glaze over hot cookies. Cut logs diagonally into 1" slices.