Bread: Combine all ingredients, except OREO Pieces, in bowl of electric mixer fitted with dough hook. Mix on low speed until combined. Mix on medium speed 5 min. Add OREO Pieces; mix on low speed until fully incorporated.
Transfer dough to clean bowl; cover. Let rise in warm place 1-1/2 hours or until doubled in size.
Form dough roughly into loaf shape and place in 13-inch Pullman loaf pan. Cover with pan lid. Let proof 1 hour or until doubled in size.
Bake in 350°F standard oven 25 min. Remove lid. Bake 20 min. or until internal temperature of bread reaches 195°F. Cool in pan on wire rack 5 min. Remove from pan; cool completely on wire rack. Trim off 1 end of loaf. Cut loaf into 16 slices, each 3/4-inch thick. Cut each slice into 4 sticks.
First Batter: Mix ingredients until well blended. Place in shallow pan.
OREO Flour Mixture: Combine ingredients in second shallow pan.
Second Batter: Mix ingredients until well blended. Place in third shallow pan.
Assembly: Dip each bread stick into First Batter, coat with OREO Flour Mixture, then dip in Second Batter.
Cook immediately in 350°F deep fryer 1 to 1-1/2 min. or until golden brown. Drain well. Plate 6 sticks per serving.