To make the "8" cookies, just start with your favorite sugar cookie recipe. You could also buy pre-made dough, or even the Betty Crocker mix. I don't recommend the recipes that have sour cream in them (the softest sugar cookie recipes!) they are too soft to stay on the sticks very well.
Spray your cookie sheet really well. I put only about 5 cookies on at a time, and they are all at the top of the sheet, leaving room to slide the sticks in after baking.
I slide it all the way through the bottom circle,up until it's almost to the top circle. I think you could probably even bake these with the sticks already in, but I've never tried it. And I'm afraid of starting a fire :)