Have someone dress up like a giant cookie and dance to Rockin' round the Christmas tree.
Hang cookies as Christmas ornaments and maybe have a contest as to which cookie makes the best ornament.

One thing I did once, was included in the Cookie Exchange Invitation:
I assigned one ingredient to each guest-things you'd add to a cookie batter etc.-and they had to bring a small description/history of that ingredient, and other uses for it. Not only was it interesting to hear about & helpful-each guest read her info during the 'refreshments' part of the exchamge.
Another time-we made the faux dough and every guest had to roll out & paint & decorate a cookie ornament & date it on the back-a nice remembrance of the party. The ornaments baked while the rest of the cookie exchange was in full swing.

Hi -- Below is a link I saved from last year. Maybe you can get some ideas. HTH some -- Michele :0)

Here is a link that might be useful: Robins Cookie Exchange Page

I am struggling with words for my cookie exchange invitation
can anyone help?

This thread is 6 years old!!
may I suggest you start a new thread about cookie exchange parties?
Linda C

The above linked page has a sample invitation; they suggest adding the "rules" on a separate sheet. I would mention on the invitation that fact.

I seem to remember a discussion on such exchanges years ago, some people thought that only very gourmet high quality cookies should be brought, not easy recipes; other people thought, who cares ?, as long as everyone had fun.

I personally feel it's the event that is fun, whatever cookies you end up with is a bonus if they are really good.

Here is a link that might be useful: exchange invite