Heat oven to 375°F. Spray cookie sheets with cooking spray. In large bowl, break up cookie dough. Stir or knead in cornmeal until well blended. Shape rounded tablespoon of dough around each candy, covering completely. On cookie sheets, place 2 inches apart.
Bake 9 to 12 minutes or until edges are light golden brown. Cool 1 minute. Remove from cookie sheets to cooling racks. Cool completely, about 10 minutes.
In small microwavable bowl, place baking chips and shortening. Microwave uncovered on High 30 to 45 seconds, stirring every 15 seconds, until smooth. Stir in red pepper. Drizzle over cookies.