I saw the idea for pinwheel cookies last year in family fun. They used a chocolate/sugar combo. I just grabbed a tube of premade sugar cookies, and mixed half up with red dye, and then rolled out one on top of the other.
I rolled it up, using the wax.
Since I was using store bought dough, I placed it in the freezer for about an hour so it would be more firm when it baked (if it's too soft, store bought dough spreads our too far to hold it's form).
Bake as the package directs.
Insert a stick before the cookie cools.