We tried to make shortbread cookies last weekend when we put up the xmas tree. Wanted to use the gingerbread cookie cutter but the dough was too sticky and we couldn't roll it out. I later read on the net that you're supposed to put the dough in the fridge for a 2-3 hrs before rolling out. Aunty Delia (Smith) forgot to mention that in our recipe book.
Method
1. Heat the oven to 190C/375F/Gas 5.
2. Beat the butter and the sugar together until pale.
3. Stir in the flour to get a smooth paste. Turn on to a work surface and gently roll out until the paste is 1cm/?in thick.
4. Cut into rounds or fingers and sprinkle with a little extra caster sugar. Put on a baking sheet and chill for 20 minutes. Bake in the oven for 15-20 minutes until pale golden. Cool on a wire rack.
about.com has a fantastic array of x-mas cookie recipes and they do let you know you need to put them in the fridge. as a rule, if you have to cut cookies out you need to have the dough in the fridge for 1-3 hours minimum.