I've never messed with a cookie sheet under my Mec presses, seems like a waste of a good cookie sheet especially since shot bounces real well on a cookie sheet so most of the shot dropped from any height will just bounce out. You are going to have a few messes to start out with but nothing a small shop vac won't clean up fast. Biggest issue with a messed up powder or shot drop is cleaning the press shell plate so it doesn't get bound up and a vacuum cleaner of some type works great to suck the offending mess off the shell plate. All I see a cookie sheet doing is taking up valuable bench space close to the loader where my scale sets.