Thaw 2 loaves of Rhodes bread. Press together and roll into a 12 x 18" rectangle.
Crush the chocolate sandwich cookies in a plastic bag using a rolling pin. Melt the butter in a saucepan on the stove top or in the microwave in a small dish. Spread the melted butter onto half of the dough and sprinkle with the cookie crumbs.
Fold the dough over to cover the cookie crumbs and slice into 16 equal strips. As you pick up each strip, twist it and set it on a greased baking sheet. Allow to rise 30 minutes.
Bake at 350° for about 25 minutes or until golden. Allow to cool about 10 minutes.
Meanwhile, make the icing by combining the powdered sugar, vanilla and milk. Whisk until smooth. Drizzle over the baked twists. Serve while still warm with a glass of cold milk!