Combine egg yolks with sweetened condensed milk in a small saucepan. Cook mixture over low heat, stirring constantly for about 30 minutes--until it forms a soft ball when dropped in cold water.
Remove from heat and place saucepan in a bowl of ice water. Beat until mixture is quite stiff. Pour at once into a pan lined with waxed paper. With a rubber spatula, roll up edges to form a long, thin roll. Chill in refrigerator until almost firm.
Cut into 1-inch pieces and roll into small balls the size of marbles. Roll in cinnamon sugar and allow to dry at room temperature.
