sorry i dont have any recipes but i would think that the best way to get the filling in them would be to spread it on the cookie dough, roll em up then bake!

Either spread the filling on the dough before you bake or use an icing bag-you'd want the tip to fit inside the "tunnel" of the cookie so that the filling is pushed to the other end of the cookie rather than back out at you. Maybe a drinking or coffee straw would be part of it, too?
Or, and I just thought of this so bear with me, freeze the filling in tube shape, outside the wafer, so they would be stiff enough to be pushed down into the wafer? And then thaw.
I think you'll have to try a few methods and let us know how they work!

My GUESS would be that these are rolled on forms, baked, and then filled with "creme" that is warm enough to be somewhat liquid...that hardens as it cools (probably due to the fats in it.

Ellen is right. Bake the cookie first, and then add the filling (warm) using an icing bag. Then let it cool.

I think these cookies are uses a French tuile cookie and melted chocolate (maybe a ganache) as the filling. My theory:

-make the ganache and set aside
-mix and bake the tuiles
-when the tuiles are done and still hot, quickly spread a very thin layer of melted chocolate or ganache and roll up into a cigarette.
-let cool

The rolling part looks to be the hardest and you might not be able to get as tight a roll as the commercial stuff, but it should work and be very close.

Just had a thought since you wanted to have some nuts in the filling. Maybe instead of rolling up the cookies, maybe you could do more of a thin, longish egg roll.

I agree with ATN654, except that I would pipe the filling into the cooled tuiles. My bet is that the filling is mostly ground hazelnuts, melted chocolate, and maybe butter.

Actually, there is a thing known as a filling tip. Like a regular metal pastry tip, but with a long tube, specifically used for filling eclairs. You just fit this into a pastry bag and pipe away (being careful to make sure you don't get any air bubbles). Probably something similar to this.

A warm liquid, like ganache, would probably just run out both ends before it set up.

The Martha Stewart Cookie book has two recipes for cookies in this style. I don't know how they taste compared to the store bought ones, but it would definitely give you the technique and a basic batter to start with.

Sigh........when I was a kid I'd get SO UPSET every Christmas because my mother would leave these out for Santa. I begged to leave Twinkies, instead, but she ALWAYS left a plate of these out.

It wasn't until I was in my 20's that I figured out WHY......., LOL

Easier way to fill, is not to fill the whole thing at once. Fill one end with the proper tip, then fill the other end. But spreadind and filling would not result in the same thing, and you spread would melt cause you have to roll the cookie as soon as it comes out of the oven.

Agreed with others- this isn't really that hard to figure out. It's a tuille cookie wrapped on a thin form, but the long thing shape would be more of a challenge to make and quickly out the oven roll than the filling. Get a creme horn tip (it has different names, but is a regular piping tip with a long (3 or so inches) tube coming from the tip to put in pastries and pipe in a warm ganache. Done. There is no way you could cover cookie dough in chocolate and roll it up and bake- not even close to the same thing. These would be great homemade and if you have the time and patience go for it, but for the effort required, I would stick to buying them to be honest with you!

You can also look for 'pirouline' how to's on google. That's the Belgian name for 'pirouettes'.