I'm not sure if this is what you are wanting, but they look like there is a very thin cookie-type exterior with chocolate fillings. If so, Pepperidge Farms makes them. They come in a big tin can and you can get them at just about any Target store. But I don't really know if that's what you're loooking for. Maybe someone else can help more.
These are called Pirouette Cookies. You can also buy them at the grocery story alot of times.
The 20 minute "prep time" includes the 10 minutes to roll the baked cookies.
2 tablespoons confectioners' sugar
2 tablespoons ground hazelnuts
1/3 cup granulated sugar
1/3 cup all-purpose flour
1/4 teaspoon salt
3 egg whites, lightly beaten
1 tablespoon light corn syrup
1/4 cup unsalted margarine, softened
1/2 teaspoon vanilla extract
25-30 Cookies 25 minutes 20 mins prep
Preheat oven to 425°F Spray 2 baking sheets with vegetable cooking spray.
Using a food processor with the metal blade, combine Confectioners' sugar and ground nuts; process until mixture is very fine.
Add granulated sugar, flour and salt and process until well combined.
Add egg whites, corn syrup, margarine and vanilla and process until dough is formed.
Drop dough by rounded teaspoonfuls (about 2 1/2-inches apart), onto prepared baking sheets.
Bake cookies until edges are golden (about 5 minutes).
Remove from oven and place sheets on wire racks.
Using spatula, place cookie on a clean kitchen towel (NOT terrycloth); and carefully roll the warm cookie tightly around the handle of wooden spoon or dowel, pressing firmly as you roll.
Carefully, slide the cookie off the spoon handle.
Place cookie on a wire rack to finish cooling.
Repeat with remaining cookies.
NOTE: Try to work quickly as you roll each cookie, they must be very warm to roll-- once they have cooled too much, they will not roll.
Those are pre-made chocolate "cigarette" sticks. You see them all the time in the Bristish "Wedding Cakes" magazine. I think a really big cake supply place can get them in bulk.
They are made individually by scraping up tempered chocolate with a sharp scraper...like you would slice cheese...except in the opposite direction. I'm pretty sure they are machine-made now though.
Hi Natalie! These look like the filled stick cookies. I am from Houston also...there is a store in the Southwest side of town called Jeruselum...they have all different flavors of these sticks. I have never thought of using them for decorating...but they look great! 
traci
you could use pirouline cookies (that's what i use here in Canada for these sorts of decorations: http://www.pirouline.com/) to get this effect, sort of. the items in these pictures are clearly not cookies, but rather chocolate rolls, which antonia74 is right about: they are made from chocolate that has been spread in layers (notice the sharp horizontal stripes on the dark & white ones) onto mylar sheets. once chilled but still pliable, they chocolate is peeled off the mylar and rolled like cigarettes. the white ones in the top picture might have been made by hand by scraping a slab of white chocolate coating or possible even some very perfectly warmed real white chocolate (which tends to be very brittle and crumbly at cooler temperatures). i once worked with a fellow who could get nice cylindrical shavings from a block of white chocolate using his metal bench scraper, but it did have to be very soft in order for him to work with it.
if you're going to try your hand at scraping a slab of chocolate to get curls or big shavings of any kind for decoration, chocolate coating is your best, reliable bet, or if you're feeling frisky, try gently melted real chocolate with some shortening added to help soften the final product and emulsify the cocoa butter and cocoa solids -- pour the mixture into a baking pan (lined with parchment) to give you some thickness in order to make a slab that you can work with. i like to run a vegetable peeler down the skinny side of the slab to make long chocolate ringlets. 
guys, are you sure they are not chocolate ? The following link is from the bakery I got our wedding cake from wich was similar and the curls were chocolate. The Aussies make these kind of cakes all the time using only chocolate and fondant.
Here is a similar cake. ( W049)
http://www.heidelbergcakes.com.au/wedding/wedding7.htm
PS, there are kits to you buy to makes these.
http://www.pastrychef.com/Catalog/chocolate_cigarette_kit_389840.htm
I wonder if there is anywhere to buy the rolled chocolate premade??? Does anyone know?
I have never made them myself, but my aunt did 1 time long while ago. Her feeling was, much easier just to buy them 
i have a question. when you make a cake like this, with chocolate or pirouline cookies, do you take them off before cutting the cake?
thanks!
Those are pre-made chocolate "cigarette" sticks. You see them all the time in the Bristish "Wedding Cakes" magazine. I think a really big cake supply place can get them in bulk.
They are made individually by scraping up tempered chocolate with a sharp scraper...like you would slice cheese...except in the opposite direction. I'm pretty sure they are machine-made now though.
I agree with you. I have seen cakes made with the cookies that look like them but the pics showed here are the cigarette sticks I believe.
Nati, here on CC, makes these chocolate sticks so you can PM her for directions. She basically cuts pieces of acetate (you could use thick vinyl) to size, spreads melted chocolate on them, rolls them up and tapes them. you can stick them in the refrigerator to set up or let them set at room temp. then, untape them and unroll / peel off the acetate or vinyl and you've got a chocolate cylindrical "stick". Nati has a few gorgeous cakes that she's done this way.
Antonia74 is right. Those are called chocolate cigarellos, cigarettes. I'm sure you could make them, but it looks very difficult to get such a tight and uniform curl.
Whoops, see I"m a little late with this reply. Interesting method of making these. I might have to try it someday.
found site that sells the chocolate cigarettes premade
Flavors:
White Chocolate $34.99
Dark Chocolate $34.99
Marbled Chocolate $41.99
Length 8"
Net weight: 2 lbs., approx. 130 count per box
Product is shipped using ice packs and well wrapped with insulating microfoam.
UPS Next Day Air delivery is recommended.
http://pastrychef.com/Catalog/chocolate_cigarettes_4464137.htm
dont know what the shipping would be never bought from pastrychef
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