Place several candies of the same colour in a glass jar or glass food storage container. Shake abruptly until the candies are broken up - I use Fox's Fruits, they're pretty much the same as Jolly Ranchers, and I went for "no bigger than ½ the original size of a candy" for the target size. Several good sturdy shakes got it there.
Transfer candies to your mini-chop and process to a course sand.
Remove ground candies to small bowls or jars.
Cut your cookies, I like to use a combination of large and small cookie cutters rather than specific "stained glass cookie cutters" cos... fads come and go, but cookie cutters clutter up your kitchen drawers.
If your dough is soft, and it's hard to transfer the cookies to your baking pan without losing their shape (once the windows are cut, it's only going to be trickier to move without deforming them), pop them in the fridge for about 10 minutes to firm up before moving.
Bake as normal until there's about 5 minutes to go on the baking, then using a small spoon, add the candy granules to the windows in your cookies. Return to oven for the last 5 minutes of the bake.
Cool cookies on the cookie sheet for at least 5 minutes.
Do not store on top of cookies that are at all moist or soft in the same container, like glazed cookies, if you do, use a piece of wax paper or parchment to keep them from sticking together. Once they've cooled to room temperature, do not leave in the open air if you live in a humid climate.