I cut out four inch circles of felt, and folded them up as shown in the Martha article linked above. Instead of relying on wire to hold the shape, I just put a little stitch in where the tips of the cookie meet. (If you use matching thread you can even be pretty sloppy about it.) I slipped a little fortune in each one, filled them with cherry jelly beans, and packaged them up in red Chinese take-out boxes. Yay!
As I was looking for patterns, I also found these kitty-toy fortune cookies that are stuffed with catnip. I had more felt than I needed for the girls' cookies, so I decided to make some toys for our friends' cats, as well.
The only think I did differently for the cat toys was to stuff them with catnip instead of jelly beans, and to sew up the edge (so the catnip doesn't fall out, of course). I used a blanket stitch to make it pretty. (See futuregirl's excellent tutorial.)
(Yes, yes...I made a felt fried egg. Just don't ask me what I'm going to do with it.)