Check out the cookie forum. There is tons of great info there. Some people bake with the sticks inserted, some put the sticks in right out of the oven, others will secure the stick to the back of the cookie with melted chocolate. I've always used the melted chocolate method because I'm too impatient to bake with the sticks inserted because of the lost space on the cookie sheet.
I do many cookies on sticks (see photos). My preferred method is carefully inserting sticks before baking. I then turn the cookie over and press a long thin piece of dough over the stick line to make sure the stick will be baked inside. Then turn cookie back over.
I have never had a cookie fall off the stick yet.
I've been really into cookie bouquets lately. I prefer baking them with the sticks in. I make sure the dough is well chilled before rolling it out, and that it's thick enough to support the stick in it. If the dough starts to get too soft, it's a nightmare to get the stick in and the cookie off the counter without misshaping it. That's what seems to work best for me...it is a pain that you can't fit as many cookies on one sheet though.
you might consider putting the stick on the bag. There are posts about it from about two years ago. I hotglue and tape the stick to the back of the bag. I just find decorating a cookie with a stick too frustrating
I bake the stick in the cookie! If you bake in the cookie make sure your cookies are thick enough to insert the stick. If you happen to roll the cookie too thin and the stick is visible on the cookie then take a bit of dough to secure the stick to the cookie gently pressing the dough onto the stick to just cover it. I just slide the stick into the cookie wiggling it back and forth slightly and pushing gently to about 1/2 - 3/4 of the way up.
One other thing I learned the hard way - bake the cookies on parchment paper! I bake with the sticks in but was having a terrible time with the cookies sticking... until I used the parchment paper.