Cream butter and cream cheese together until light and fluffy. Add the flour and salt. Knead the dough lightly until well mixed. Wrap the dough in waxed paper or plastic wrap and chill for at least 2 hours.
Mix together the sugar and cinnamon for the filling in a small bowl.
Preheat the oven to 375 degrees F.
When the dough has chilled for 2 hours and you’re ready to bake the rugelach, divide the dough into 8 equal pieces. Work with one piece at a time and keep the rest refrigerated.
Roll each piece of dough into a rectangle about ¼ inch thick. Spread 1 tablespoon of jam on the dough and sprinkle ⅛ of the cinnamon sugar and walnuts.
From the long side, roll the dough into a log making sure the seam is on the bottom. Brush the log with milk and slice almost to the bottom into 8 equal pieces, but leaving the pieces attached.
Repeat for all 8 pieces.
Bake for 20 minutes until golden brown. Once the cookies have cooled a bit, you can cut them apart fully and serve.