Last week I made a felt cookie and dough set for my cousin. Cookies are an extremely easy felt food project to complete, especially since it really doesn't require a pattern (aside from cookie cutters).
See this tutorial for the basics.
I made a few modifications to the tutorial:
Instead of separate 'uncooked' and 'cooked' cookies, I just stuck with the one set.
The felt red icing is sewn onto the cookie with a satin stitch to make it look more crisp.
I used contrasting pink thread satin stitches to make sprinkles on the cookies.