Can't find orange creme-filled cookies? Vanilla-filled cookies work just fine. And if you'd like, you can use black licorice twists instead of the string. Cut the twists into 1 1/2-inch lengths, then cut the lengths vertically into thin strips.
A kitchen scissors works well for cutting string licorice. If the kids are helping, scrub clean their blunt-tipped scissors in warm soapy water.