Preheat oven to 375ºF.
Slice the cylinder of crescent roll dough into 16 pieces (see photo in post). "Smush" each piece into a circle slightly bigger than an Oreo.
Dunk an Oreo in the milk (very quickly-- you don't want it to be soggy!) and place on a crescent roll circle. Press another circle of dough on top of it, and pinch the layers together to seal the Oreo inside.
Repeat with each Oreo. Place Oreos on a lined baking sheet, and bake for 10-12 minutes until golden brown.
Remove from oven and immediately dust with powdered sugar and serve!