It's working in Amherst, Mass.Food TV Network had a segment last night (April 15) in a program about cookies about a cookie delivery business in Amherst. It's been going for about 15 years, and looks like it is quite sizeable. They deliver units of 16 warm cookies in a pizza-box-like box in one of those red things that are used to keep pizzas warm. You might want to take a look at the cable schedule to see if this show will be replayed.
From that show it appeared that these things were important to the profitability of the business: (1) It looked like they only delivered boxes of 16 (which they call "Dan's dozen"), not smaller units. The 16 formed an exact square that filled the cookie sheet and fit exactly into the delivery box. The bakery had pans, ovens and boxes sized to hold that batch. Also by selling in a large unit, they avoided the "can you deliver one cookie" syndrome. (2) Amherst is home to two colleges, Amherst and a branch of U. Mass. The student population appeared to be a sizeable part of the customer base. (3) The next important part of the customer base appeared to be offices buying cookies as a munchie for meetings. It may be that a lot or orders went to individual homes, but no deliveries of that kind were shown on the program, and I can imagine that this wouldn't be a steady, predictable customer base for orders of 16 or more cookies. (4) I think the show also said that the bakery supplies a few restaurants and other retail outfits, but I was paying bills during the show so didn't focus on all of it. (No, the tax return had already been filed, thank you.)
So, are you located near a large student population and a bunch of offices? Are there restaurants, diners and other retail outlets that would buy from you wholesale to give you a base of income from which the delivery business could grow?