I tend to make my cookies out of a sheet of foamcore (preferably black, so as not to turn your cookie into a partial reflector), though if you wanted a fire-resistant variety you may want to invest in store-bought cookies or make them from a non-flammable material like black foil or mesh screens (like those found on your windows). The reason foamcore and cardboard cookies are popular is because they are easy materials to work with when cutting out a pattern. But again, be careful when putting these materials too close to a hot light. A utility knife or exacto makes easy work of turning a sheet of foamcore into a cookie.
Deciding on a pattern is simple: whatever pattern you like will work. In my studio our cookies tend to be random organic shapes designed to loosely emulate foliage. There's no right or wrong way to make a cookie pattern, except that the more random and organic the shapes, the more "natural" the lighting pattern will be. With geometric patterns, the light coming through a cookie will not appear naturally dappled—which is fine if that's the look you're going for. Need the appearance of high-tech or manmade lighting? A geometric patterned cookie is perfect.
Whatever the pattern, whatever the material, there's one simple secret to working effectively with cookies. It's all about distance. Place the cookie far from the light source and close to the surface upon which the light is falling, and you'll make a well-defined, hard-edged shadow. Put the cookie far from the subject and close to the light, though, and the reverse is true: the light will be softer, and the pattern less obvious. Your positioning of the cookie will depend entirely on the look you're after.
Again, the main caveat when working with homemade cookies is safety. If you put a paper or foamcore cookie too close to a hot light source, you might find yourself with a burned cookie—or worse, a full-fledged fire. So always be sure to keep a safe distance between lights and cookies.
Oh, and one more thing. Don't forget the old standby for dappling light: a tree branch, either real or synthetic, held in front of a light source has a very similar effect—dappling light to make it softer and more natural in appearance.