Great idea!!! I've just decided to do something similar - i've got horses and so my mum is going to make horse shaped cookies with white icing (same colour as my horse!) and then we'll wrap them up like the ones in your pic.
I think it'll be a nice personal touch and everyone will know why mine are horse shaped!!
I think people like little things like that at weddings and i hate seeing expensive favours go to waste etc.

Married on 17th July 2010
01/2010 and 06/2011