In the bowl of a stand mixer, cream together the butter and sugar. Add in eggnog and vanilla extract and beat until fully combined.
In a small bowl, combine the flour, baking powder and salt. Slowly mix it into the butter mixture until a dough forms. Do not overmix.
Scoop the dough out onto a lightly floured surface (preferably a small cutting board so they can be easily moved into the fridge) and, with floured hands, knead it a few times to form a ball. Divide the ball into 4 equal pieces.
Roll each piece into a rope, about 10-12 inches long. With the handle of a wooden spoon, create an indentation lengthwise to serve as a trough for the caramel or desired filling. {Try to round off the ends of each rope to keep the caramel from leaking out during baking.} Carefully fill the indentation for each piece of dough with about 2 teaspoons of caramel or desired filling -- do not overfill.
Refrigerate the dough for 20-30 minutes or until the dough is firm.
Meanwhile, preheat the oven to 350°F. Prepare a baking pan by lining with parchment or a silicone baking mat and set aside.
Remove the dough from refrigerator and place on prepared baking pan, leaving 3-4 inches between each long piece of dough. {They'll spread a bit during baking.}
Bake for 14-15 minutes or until the dough is just set {it won't brown too much} and the caramel is just starting to bubble.
Remove from oven and let the cookies sit for about 30 minutes to cool before slicing diagonally into 1 inch pieces. Dust with powdered sugar if desired.