I used a sugar cookie glaze recipe from the King Arthur flour website. It has 2 tbsp of corn syrup. I think that helps it get a little shiny? I did add about a tsp of vanilla as well. I sifted the sugar first so probably ended up with more than the original amount so I did need more milk. It sets up fairly quickly but leave them out overnight for it to harden, before stacking or anything.
http://www.kingarthurflour.com/recipes/simple-cookie-glaze-recipe