Thaw the Rolls: Place the frozen Rhodes rolls on a baking sheet lined with a silicone baking mat or greased with cooking spray. Cover the rolls with plastic wrap that has been sprayed with non-stick spray. Thaw the rolls at room temperature for 1-2 hours or in the refrigerator overnight. The rolls should be thawed but still cold enough to handle easily.
Preheat the Oven: Preheat your oven to 350°F (175°C).
Shape the Twists: Roll each ball of dough into a 14-inch rope. Then, twist each end in opposite directions 3 or 4 times. Pinch the ends together, and the dough will twist automatically.
Coat the Twists: Melt the butter in a deep plate or dish. In a separate dish, combine the cinnamon and sugars. Dip each twist into the melted butter, then into the cinnamon-sugar mixture, ensuring they are well coated. Place the coated twists a couple of inches apart on the prepared baking sheet.
Let the Dough Rest: Cover the twists with sprayed plastic wrap and let the dough rest for 15-20 minutes until they have risen slightly.
Bake the Twists: Bake the cinnamon twists at 350°F for 15-20 minutes, or until they are baked through with an internal temperature of 190-200°F. The twists may brown only on the bottom.
Make the Cream Cheese Dip: Using an electric hand mixer, beat the cream cheese in a large bowl until smooth. Add the powdered sugar, vanilla, and milk, and mix until combined. Serve as a dip for the cinnamon twists or drizzle it over the top.