1. Beat softened butter and cream cheese in large bowl on medium speed of mixer until blended and smooth. Gradually add flour, beating on low speed until well blended. Divide dough into 3 equal parts; wrap individually in plastic wrap. Refrigerate 3 to 4 hours or until firm enough to roll.
2. Heat oven to 375°F. On lightly floured surface, roll one piece of dough into 9-inch circle (keep remaining dough in refrigerator). Cut circle into 12 wedges. Place about 1 teaspoon prepared filling at wide end of each wedge; spread about three-fourths of the way up wedge. Starting at wide end, roll toward the point. Place cookies, point sides down, about 1 inch apart on ungreased cookie sheet. Brush with melted butter. Stir together sugar and cinnamon; sprinkle over cookies.
3. Bake 15 to 20 minutes or until golden. Remove from cookie sheet to wire rack. Cool completely. Repeat procedure with remaining dough and filling. 3 dozen cookies.
COCOA NUT FILLING: Stir together 1-1/2 cups ground walnuts, 6 tablespoons sugar and 3 tablespoons HERSHEY'S Cocoa in small bowl; stir in 3 tablespoons milk. About 1 cup filling.