From the dough, form small balls the size of a small walnut. Arrange them in an oven dish, laid out with baking paper. Bake at 338°F (170 °C) for about 15 min. They need to remain white colored.
While still warm, dig out their insides. In a blender, put the walnuts and part of the dug out crumbs. Blend but not too much. Pour them into a bowl, add the Nutella, butter and milk. Stir well. If it's too runny, add more of the crumbs.
Use the resulting mixture to stick the treats back together again.
In 2 bowls of water, dissolve the yellow and red dyes. Dip each treat briefly first in 1 bowl, then in the other. Then roll them in the sugar. Do this for all the treats.
Source: My Tasty Hobby with Passion and Love.