Here's how we made them:
Form a heart shape with two candy canes. Place on a greased baking sheet and bake in the oven for 5 minutes at 350.
Remove from oven and use a butter knife (or your fingers, but be careful!) to push the two candy canes together where they meet. Do this gently, as it will distort the red stripe if you push too hard. Return to the oven for about 2-3 minutes. Watch them closely as all oven temp vary and you don't want them to melt!
Remove from the oven, let cool and then put in a cellophane bag. I got this set of 12 bags in the dollar bin at Target. I folded over the top, taped it down in the back, and then punched a hole and added a tag and ribbon!