In a mixer bowl, beat cream cheese and butter with an electric mixer until well combined. Add flour and mix well. Shape into a ball. Cover and chill for 1-1/2 hour.
For Filling: In a saucepan, cook sugar and milk over medium heat until milk boils and sugar dissolves, stirring occasionally. Stir in nuts. Remove from heat; cool until it’s spreadable.
Meanwhile, on a lightly floured surface, roll out dough to form an 18x12-inch rectangle. Cut lengthwise into two strips. Spread each strip with nut filling. Starting from long side, roll up each strip, jelly-roll style. Cut rolls crosswise in half to fit on baking sheets. Place seam-side down, on ungreased cookie sheets. Cut into generous 1/2-inch thick slices without separating.
Bake in a 350°F oven for 15 to 20 minutes, or until done. Let cool slightly. Remove; cool on wire racks. Dust with powdered sugar. Separate the slices into individual cookies. Cover and refrigerate or freeze.