Preheat the oven to 200C/400F/Gas mark 6.
Place the flour, sugar and suet into a bowl and mix thoroughly.
Make a well in the centre of the mixture then gradually add enough water to make a soft dough. Knead lightly until smooth then divide into five portions of equal weight.
Turn each portion of dough onto a floured surface and roll out to an oblong about 1cm/½in thick. Spread about one fifth of the jam on the pastry leaving a 1cm/½in border.
Roll up from the long side into a pinwheel, seal the ends well with a little water and place onto a greased baking sheet with the seal downwards. Brush with a little of the milk.
Repeat with the remaining dough and jam, using another greased baking tray if necessary. Bake in the oven for 35-40 minutes, or until golden brown.