'Cookies' can be translated as '小甜餅' ; describe as '牛油小酥餅' ; transliterated to '曲奇'(often: '曲奇餅')
To say "fresh baked cookie" in Chinese:
新鲜烤的小甜餅 / 新鲜烤的曲奇餅 (fresh baked cookie)
*can be simplified to 新鲜烤小甜餅 / 新鲜烤曲奇 (fresh baked cookie)
剛出烤箱的小甜餅 /剛出烤箱的曲奇餅 (fresh out of the oven cookie)
曲奇 http://www.xiachufang.com/category/51906/