
Here's how.
For fortunes, I used Yiddish proverbs - they have the perfect blend of wry humour, cynicism, and Jewishness. Selections from Pirkei Avot (early rabbinic homiletics) could also work, but I found them a bit too goody-goody for this purpose. One could also use verses from Proverbs and suchlike, but I felt a bit odd about putting biblical verses into cookies. Choose fortunes, print them out, and fold the fortunes into little squares.
Then use this recipe and these associated tips to make fortune cookies. When you get to the bit about shaping them, depart from those instructions, and instead, when you get the cookie off the baking tray and flip it over, put a folded fortune in the middle and pinch the edges up to make three corners.