Preheat oven to 350ºF.
Combine whole wheat flour, Parmesan cheese, rolled oats, dry milk, salt, sugar, margarine, liquid smoke and egg in a mixing bowl.
Slowly add water 1/4 cup at a time until dough is soft and pliable.
Roll out on a floured surface to 1/2″ thickness, cut into shapes using small cookie cutters.
Bake on a lightly oiled cookie sheet for 25 to 30 minutes.
Cool completely then store in an airtight container.