Heat oven 350°F. In large bowl, break up cookie dough; stir or knead in cream cheese, walnuts, flour and vanilla until well blended. (DO NOT EAT RAW COOKIE DOUGH AFTER COMBINING WITH FLOUR.)
Shape dough into 38 (1 1/4-inch) balls; place 1 inch apart on ungreased large cookie sheets.
Meanwhile, in small bowl, mix powdered sugar and cinnamon until well blended. Roll warm cookies in powdered sugar mixture. Roll in powdered sugar mixture again. Cool completely, about 30 minutes. Store covered at room temperature.