These are tender little pastries for Chanukah or any time. Use whatever kind of filling you like: Jams, preserves, cinnamon sugar, nutella, etc. These are time consuming, but don't take much skill, and they freeze well, so they make pretty little gifts.
In a food processor, combine the cream cheese and butter until smooth. Slowly add in the flour and keep mixing until smooth. You can do this by hand, but it will take a while! The dough should be fairly stiff and not sticky when it's done.
Divide the dough into 8 balls. Cover with plastic wrap and chill for at least 30 minutes.
Preheat the oven to 400.
Prepare a pan by lining it with parchment paper, then spraying a baking rack and putting the rack on the parchment paper. Line a second pan with parchment paper, to which you will remove the rugelach when they come out of the oven.
Use the sugar to cover your work space, and use a rolling pin to roll a ball of dough into a round shape the size of a large plate. It should be thin enough to flap a bit when you give it a shake. If your rolling pin sticks, sprinkle more sugar on. You can turn the dough over to make sure both sides get sugared. It doesn't have to be perfectly round, as it will be cut into pieces.
Spread the jam or other filling over the dough, leaving an open space in the middle. If you're adding nuts, sprinkle them over the filling.
Using a pizza cutter, cut the dough into 16-20 triangles.
Roll each triangle up from the outside in. Place each rolled rugelach on the sprayed baking rack on the pan, with the skinny point down. They puff up a bit, so leave the space of one rugelach in between.
Repeat for each ball of dough.
Bake for ten minutes. If the dough isn't golden brown, give it another two minutes. These go from perfect to burnt very quickly, so be alert.
When they bake, the filling will ooze out and pool and burn on the parchment paper, but the rugelach will not burn.
When the rugelach come out of the oven, immediately use a butter knife to transfer them to another pan or rack to cool.
Once they are cool, they can be wrapped in plastic and kept in the freezer for weeks without harm.