Preheat the oven to 375 degrees. Prepare 2 baking sheets with parchment paper.
Roll out tubes of cookie dough into 1/4-inch-thick sheets. Cut dough with large cookie cutters into 16 total cookies and transfer cookies to prepared sheets. Cut out the center of half the cookies. Bake for 8 to 10 minutes. Transfer to a rack to cool.
To assemble the grave, place one whole cookie on a flat surface. Outline with frosting. Place a center-cut cookie on top. Outline with frosting and place another cut cookie on top. Fill the center hole with sprinkles. Outline the cookie with frosting and place a whole cookie on top to seal the grave. Decorate as desired.