Apple Pie Cookies Recipe.. These look Delicious!! You need these ingredients to make these: 1 Box of frozen Pillsbury Pie Crust (2 sheets per box), Approx. 1 Can of Apple Pie Filling (just enough for a thin layer), Approx. 1 Cup of Caramel Sauce (just enough for a light coating), 1 Egg..for egg-wash, 2 tbsp. Cinnamon/Sugar, 1 tbsp. Nutmeg, Flour just for sprinkling, and a round cookie cutter..any size you like.