I use the No Fail Sugar Cookie recipe on this site and Antonia74's recipe for royal/thinned royal. The cookies are really sturdy and the icing holds up really nicely.
Generally I individually bag each cookie (and depending on the cookie, i put some decorative paper shreds in the bottom of the bag) and tie off the top of the bag with a ribbon and a tag. Then to box, I make sure I have a nice, sturdy box and good packing material (i.e. new bubble wrap or packing peanuts) and nestle the cookies in.
I like bubble wrap, because you can do a layer of bubble wrap, a layer of cookies, a layer of bubble wrap, a sheet of thin cardboard, more cookies, etc. you can get a lot in and i haven't had any trouble with the shipping!
HTH 
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