Make a woof ‘em stick by rolling up some foil to fill in the gap between the two pricks of a hot dog stick. Then wrap more foil around the pricks and center foil until it's about 1 & 1/2 to 2-inches thick. (See tutorial images within post as a reference.)
LIGHTLY spray the end of a woof 'em stick with cooking spray. (Too much cooking spray will make the dough slide off, and not enough will make it stick.) Flatten a Rhodes roll with your hands and cup it around the end of the woof 'em stick as evenly as you can for proper cooking.
Roast the dough slowly over coals or a gas grill for about 15 minutes or until golden brown. Don't brown the dough too quickly or the inside will still be raw.
Gently slide the dough off of the stick. Fill it with your favorite flavor of pudding, top it with whipped cream, and enjoy!