Combine butter and sugar. Mix thoroughly. Add hazelnut flour, all-purpose flour and milk. Combine and mix until the mixture has turned into a grainy paste.
Get a small portion of the mixture and form it into a cigar that is 2-inch long and slightly bigger than a finger in width. Place each cigar in a pan with a baking sheet. Leave a bit of space between each cigar. This recipe yields 14 pieces of cigars.
Bake in the oven for 10-15 minutes.
Set aside to cool.
Melt the chocolate (microwaving or using a double-boiler will be fine).
Dip each cigar in the melted chocolate and place in a rack. Chill cigars in the refrigerator for at least 15 minutes before serving.