Follow these steps for an incredible batch of Italian Nut Roll Cookies:

1. Prepare Dough: In a large mixing bowl, cream together the softened butter and cream cheese until smooth.
2. Add Sugar: Gradually mix in the granulated sugar until well combined.
3. Incorporate Dry Ingredients: Add the all-purpose flour and salt, mixing until a soft dough forms.
4. Chill the Dough: Wrap the dough in plastic wrap and refrigerate for at least 1 hour.
5. Prepare Filling: In a separate bowl, combine the finely chopped walnuts, powdered sugar, and ground cinnamon. Mix until well blended.
6. Preheat Oven: When ready to bake, preheat your oven to 350°F (175°C) and line baking sheets with parchment paper.
7. Roll Out Dough: Flour a clean surface and roll out a portion of the chilled dough to about 1/8 inch thick.
8. Cut and Fill: Cut into rectangles (approximately 3×4 inches). Place a spoonful of the walnut mixture along one edge of each rectangle.
9. Roll Up Cookies: Carefully roll the dough over the filling, making sure to seal the edges.
10. Prepare for Baking: Place the rolled cookies on the prepared baking sheets. Beat the egg with milk and brush it over each cookie for a glossy finish.
11. Bake: Bake in the preheated oven for 20-25 minutes, or until golden brown.
12. Cool: Remove from the oven, let cool slightly on the baking sheet, and then transfer them to cooling racks.

This simple yet efficient process will yield delicious Italian Nut Roll Cookies that are perfect for any occasion!