V.W.
For each costume:
Cut 2 same size circles out of large pieces of cardboard (think old refrigerator box). Take some quilt batting and put some over the cardboard and wrap dark brown/black (oreo colored, lol) fabric around it and either staple the edges or use a glue gun around the back side edges. Do this for both the "top" and "bottom" cookie pieces. You can then take more batting, and wrap white fabric around it and glue it to the "inside" edges to make the "filling" (but leave the areas at the neck and waist areas unobstructed). Then, once those pieces are all dry, you can staple 2 strips of elastic on either side of the neck "opening" area to connect the two parts of the 'cookie'. Your child just puts it over their head like a walking board sign.
If you want to make the "cookie" part large, you can cut circle openings on the front cookie for your child to stick their arms through, so they can carry their treat bag. :)