Heat oven to 350°F. Line cookie sheets with cooking parchment paper or spray with cooking spray. In large bowl, break up dough; stir in anise seed and orange peel until well mixed. Reshape into log; refrigerate 1 hour or until firm.
Cut cookie dough into 16 (1/2-inch) slices. Place slices 2 inches apart on cookie sheets, reshaping dough as necessary. In small bowl, stir egg yolk and whipping cream until blended; brush egg yolk mixture on dough.
Bake about 12 minutes or until edges are light golden brown. Immediately sprinkle tops of cookies with sprinkles. Cool 2 minutes; remove from cookie sheets to cooling racks. Cool completely; store in airtight container.