I found out it worked well with double filled cream oreos. I had the thinner kind too, but the cream was not holding the pretzel sticks for the legs very well. You can give it a try if that works for you.
Its so easy to put together that you can take even get help from the little hands to make these.
Just open up and separate the oreos cookies carefully, stick in the pretzel sticks and put the oreos back together. For eyes, I used white icing to stick the orange m&ms.
Linking this to these awesome parties here, here, here and here.