It's really simple. Add some powdered sugar, aka icing sugar, to a bowl, and whisk in some water or milk until you just reach a drippy consistency. You don't want it to flow, so add the liquid slowly. Then get some food coloring and a toothpick. Add a few drops of food coloring to your icing, and gently swirl it. Then just dip your cookies straight in and straight back out, and you should see the marbling on the cookies.