Donations are tax deductible to the extent the value paid exceeds the value received. Assuming these are ordinary sugar cookies and probably not worth more than $1.00 each, there should be a tax deductible difference of $4.00 or so per cookie. You could give receipts, but it would likely be overkill as taxpayers aren't required to have receipts for nominal cash donations.
People who purchase the cookies are, in effect, making a cash contribution. As pointed out by my colleague above, the contriution is equal to the amount paid less the cost of the good. This would roughly be $4.00 per cookie, as pointed out by my colleague.
However, according to IRS Publication 526 (see below), you cannot deduct a cash contribution, regardless of the amount, unless you keep documented records of the cash contribution. A receipt (or a letter or other written communication) from the qualified organization showing the name of the organization, the date of the contribution, and the amount of the contribution would be sufficient. Similar information could also be recorded on a cancelled check, bank statement, or credit card statement. The IRS requests more specific documentation once contributions exceed $250.00.
While the answers below are generally correct, a cash payment in exchange for the cookies is presumed to not be a charitable contribution regardless of the value of the cookie in relation to the contribution made. In other words, if you get anything in return, there is a presumption that no part of the transaction included a gift. In order to rebut this presumption, you must show that the payment exceeded the value of the gift and that the excess was paid with the intent to make a gift. For authority, please see Rev. Ruling 67-246 and its interpretation in U.S. v. American Bar Endowment, 477 U.S. 105 (1986).