Preheat oven to 350 degrees Fahrenheit.
For filling, slightly beat egg whites. Stir in walnuts, sugar and cinnamon. Set aside.
Take 1-2 balls of dough from refrigerator at a time and roll into a flat circle about 3 inches in diameter. Place 1/2 teaspoon of filling in center of each circle and roll so filling is enclosed in dough. Put cookies on a greased baking sheet about 2 inches apart and place cookie sheet in refrigerator while continuing to roll and fill remaining cookies.
When cookie sheet is full, remove from refrigerator and bake in oven about 15 minutes or until light brown.
Repeat process until all cookies are filled and baked.
Cool and dust with powdered sugar.