I used Pilsbury cinnamon roll dough, though you could, of course, make cinnamon rolls from scratch if you have the time and prefer. Then just poke a stick or a decorative paper straw through the rolls before baking them. Make sure to use a paper, wooden, or metal stick; don't use anything plastic or anything else that wouldn't be oven-safe.
I think these are so fun. I love food on a stick, especially at a party. It's just way more fun to eat and it looks so festive.