Thaw one roll of fillo dough, following thawing instructions on package.
Preheat oven to 350ºF.
Unroll and cover the fillo pastry sheets with a damp towel or plastic wrap to prevent drying out.
Place one sheet of fillo on a cutting board and lightly coat with cooking spray. Layer and repeat with 1 more sheet. (Recipe or personal preference may substitute brushing with melted butter, olive oil or egg wash.)
Roll fillo around itself. Coat lightly with cooking spray, and sprinkle with sugar, cocoa, cinnamon, salt or other seasoning if desired.
Reroll unused fillo sheets and follow storing instructions on package.
Place phyllo pencils or cigars at least 1″ apart on ungreased cookie sheet or baking pan. Bake about 8 minutes or until golden brown, rotating half way through for even browning. Repeat to make additional pencils and cigars.
TIP: Dip ends in chocolate sauce or serve with fresh fruit and whipped cream.