I have used the Marshmallow Rolled Buttercream for decorate cookies recipe posted here on cc many times and it is a big hit with all my family and friends. I find it sticks to the cookies if I put it on them right out of the oven and then remove them off of the pan onto the cooling rack and yes it holds it's shape. If I am stacking them I put wax paper between them.
It holds its shape and adheres right to the cookie. You can even take your finger and smooth the fondant out to the edge of the cookie if you want, but you have to do it carefully. It's easy to stick your finger right into the warm MMF.
I also apply fondant to the cookies right out of the oven and it works great! If the cookies cool too much, the fondant won't adhere...so you do have to work quickly to get the whole cookie sheet full done.