I always used the one out of the Better Homes and Gardens big old red plaid cookbook. It's a basic sugar cookie recipe with crushed hard candy in the hole while baking.
My grandmother used to bake what we called stained glass cookies. But they are actually the same ones as the cathedral cookies with the colored marshmallows mentioned above. I haven't thiought of them in decades. Thanks for the memories!
My mother always made them each Christmas. We called them Cathedral Cookies, and her recipe was like this one: http://www.tasteofhome.com/recipes/cathedral-cookies#. They are so easy to make! Think I will make some with the kiddos this year.
Real Simple has a recipe for these, too - I bet you could find it online. I made them several years ago (when Real Simple published the recipe) and they dis not turn out well - the "stained glass" part, which was melted lifesavers, shattered really easily so they cookies did not hold up well.