THERE’S A REASON we don’t put out a platter of Christmas goose or plum pudding for Santa on Christmas Eve. Would Saint Nick really bother making that awkward journey down the sooty chimney for anything but a plate of cookies?

Ah, but what kind of cookies to serve Santa—or just scarf down yourself? The perpetual Yuletide question. You could always go for the chunky variety, packed with cornflakes or pretzels, or the cookie-cutter sort that makes for decorating razzle-dazzle—if not great flavor. But for ease of execution, sheer...