1. Thaw pastry 1/2 hour or until soft enough to work with. Unfold 1 pastry sheet. Brush with milk.
2. Combine sugar and cocoa in small bowl. Sprinkle over top of pastry. Refold pastry into thirds to original shape. Trim long sides of rectangle to remove rounded edges.
3. Lay rolling pin lengthwise on rectangle; roll until 31/2 inches wide. Cut across width in 1/2-inch-wide strips. Give each strip half twist; pinch center. Place on baking sheet. Repeat with remaining strips; space 3 inches apart. Brush with egg white. If dough is soft, refrigerate 30 minutes.
4. Repeat Steps 1 to 3 with remaining pastry.
5. Bake in preheated 400 degrees F oven 7 to 10 minutes until cookies begin to brown on bottom. Turn over; bake 10 minutes. Cool on rack. Sprinkle with powdered sugar. Place dab of icing in center; top with candy.