How clever. If you find a recipe - please post it. There is a small boy hiding (not well) inside an adult I know who would love these.
Click on the link within "pinata cookies!" and it will take you to a wonderful step-by-step tutorial. They are simply colored sugar cookies, stacked to get the colored layers, then sliced, baked, cut into the burro shapes while still warm from the oven, and iced together.