Danish butter cookies have a very thick, firm dough that can be difficult to pipe. The most important thing is to make sure you are using the correct piping tip. A Wilton 1M piping tip is my favorite, but any large open-star tip should work. You'll also want to make sure you chill the dough after piping. If you chill it beforehand, the cold dough will be even harder to pipe. If you don't want to mess around with piping, you can always scoop the dough into balls and then gently press them down with a fork. They won't have the same appearance, but they will still taste great!