Separate Oreo cookies from their cream fillings; set cream aside. Crush cookies in a food processor until they resemble fine crumbs (about 30 seconds).

In the food processor, add most of the milk to the crushed Oreos and blend until a soft dough forms (about 20 seconds).

Transfer the dough onto plastic wrap, flatten and shape into a rectangular slab about 1/4 inch thick.

Mix reserved cream filling with remaining milk until smooth. Spread this cream mixture evenly over the dough, leaving a small border.

Using the plastic wrap as a guide, roll the dough tightly into a log shape, tucking in the cream filling as you go.

Wrap the log in plastic wrap and refrigerate for at least 30 minutes. Slice into sushi-style pieces before serving.