We try so hard as parents to be consistent and stay strong because we know that this is best, but let's face it, kids can out last us. There job is basically to play and try and get their needs met, and to them that cookie is a need not a want, but as parent's we have so many other jobs that we are more easily worn down.
So even though I acknowledge that fact, I still need to stress the importance of consistency when it comes to behavior modification or any discipline technique. If you consistently say no to that cookie 8 out of 10 times, but give in those other two times, that is just enough of a reinforcer that your child will continue to pester and whine and throw temper tantrums in an attempt to wear you down again.
That is why I highly recommend picking your battles. Some of the best wisdom you can develop as a parent is that you can't win them all. So why not let the kids have a few from the start and save the fight for the ones that really matter. This will allow you to have more emotional energy to stay strong and not give in when it really counts. Plus it will lead to an overall happier home.