In a large bowl lightly crush the snickerdoodle cookies. Pour in the milk and stir together. Cover milk and cookie mixture and refrigerate for 2-4 hours to infuse the flavor. Remove the milk and straight out the soaked cookies.  

For one cocktail: Fill a shaker with 8 ounces of cookie infused milk, 2 ounces of whiskey, cinnamon and nutmeg. Fill with ice and shake for 20-30 seconds. Pour into a mug and sprinkle with cinnamon.