Glazing is a technique that creates that super-smooth look you see on fancy cookies. Basically, "glaze" is just watered down frosting. Here is a basic how-to for making the glaze.
After you have colored all of your frosting, get a small container for each glaze color you will need (clean butter tubs and yogurt containers work great for this and you can throw them away when you are done!).
Put the desired colors of frosting in the containers by either mixing the color right in the container or squeezing it from a decorating bag.
Add water to the container(s) a few drops at a time, stirring after each addition. A basic rule of thumb for a good consistency is that a drop of the icing should disappear into the mass on the count of 6 or 7. It will be similar in consistency to Elmer's glue: fairly runny, but not so thin that it's hard to control.
Keep glaze colors covered while not in use. If your containers do not have lids, I recommend covering them with saran wrap and then a damp towel.
The glaze will separate as it sits, so you will need to stir the glaze well before and during use.