Maybe rainbow is the right term for these cookies. Does anyone know of a tutorial or video on how to make these? Could you give me a link or tell me how to do them? Thanks in advance. 

http://amandascookin.com/2011/03/st-patricks-day-cookies-rainbows.html

I just googled "rainbow swirl cookies coiled," and did an image search.

I've seen a video on you tube. I think if you do a search for swirl cookies on you tube it will come up. I'd only confuse you if I tried to describe the directions step by step. LOL. Have fun!

cute cookies! the only thing that i can think, is that you would put the colored dough in separate pastry bags and then put all the colors in one big pastry bag. then pipe them out. kind of how you pipe out two different colors of frosting at once. hope this helps.

That's exactly what I was thinking cylstrial.  I've piped cookies before, so I think I'll give this a whirl (pun intended)  :)

Divide your cookie dough into 4 pieces.  Dye each one a different colour (knead in the colour).  Roll each colour into a long string.  Gather up all 4 colours and sort of roll them all into one big string.  Coil up into cookie sized rolls and bake.

They're called Unicorn Poop cookies!

http://www.instructables.com/id/Unicorn-Poop/
 

Those are adorable!  Thanks, OP, for posting the photo, and thanks everyone for providing links for the recipe and directions.

Thank you so much for all the responses. I especially like video's.