I found this recipe in the Betty Crocker, Fall Baking magazine. Let me just say, the dough is not easy to work with, for me at least. I didn't have an orange, so I added some clear vanilla extract. The cookies do not have much flavor. I think I would use maybe a lemon extract next time.
1 cup butter softened
1 1/2 cups powdered sugar
1 to 2 tablespoons orange zest
2 1/2 cups all purpose flour
1 teaspoon baking soda
1 teaspoon cream of tartar
Orange and Yellow gel food color
In a large bowl, beat butter, powdered sugar, egg and orange zest with an electric mixer on medium speed. Stir in flour, baking soda and cream of tartar.
Divide dough into thirds. Tint one portion orange and one portion yellow; leave remaining portion plain. Flatten each portion into a disk. Wrap in plastic wrap; refrigerate for 20 minutes.
On a separate sheets of lightly floured waxed paper, roll each portion of dough into 12x9 inch rectangle. Place orange rectangle on top of the yellow rectangle, using waxed paper ends to help flip dough over. Top with the plain dough. Starting on a long side, and using waxed paper as an aid. Roll dough into a cylinder. Wrap in plastic; refrigerate for 1 hour.
Heat oven to 375. Cut dough into 1/4 inch slices. On ungreased cookie sheet, place slices about 1 inch apart. Sprinkle with coarse sugar.
Bake 7 to 8 minutes or until edges are set. Cool 1 minute; remove from cookie sheet to cooling rack.