Hi. Where can I buy in the US cigarillos? Are there any tutorials or videos showing how to make them? Thanks in advance.

Do you mean the 5" long rolled cookies usually filled with chocolate?
If yes, those are available as Piroulines or Pirouettes, made by the DeBuekelar Corp. I buy them at Sam's Club but I have seen them at WalMart and other stores. The ones at Sam's come in a metal container, about 75 cookies inside. The ones at WalMart are in a considerably smaller container, so fewer per container.
If this is not what you meant, then I don't understand what you are calling cigarillos, except for slim cigars.

Thank you for your response. Below is a pic of what I am talking about. They are not those wafer cookies.

http://www.cakecentral.com/modules.php?name=gallery&file=displayimage&pid=1260184

. . . you should be able to find what you need here . . . http://www.marquefoods.com/chocdecor.htm (chocolate decorations and then scroll down till you find them) . . . or you could make them, but it would be very time consuming . . . http://www.cakecentral.com/article173-How-To-Make-Chocolate-Cigarellos-Natis-Way.html . . . HTH