To marbelize dough, roll out a 1/2-inch-thick rope of Chocolate Dough. Roll out a 1/2-inch-thick rope of Vanilla Dough. Pinch off a 3/4-inch piece from each rope. Roll together into 1 ball, then roll in sanding sugar, if using. Arrange on parchment-lined baking sheets, spacing each 1 inch apart.
Refrigerate until firm, about 30 minutes. Bake at 350 degrees until firm, 14 to 16 minutes. Let cool completely.