When it comes to literally taking the last cookie, I will very often tell the rest of the group "I will do you all a favor, and save you the guilt of taking the last cookie."

Possibly more selfish people feel affronted by this, but at the level of courtesy at which I used to operate, anyone who saved me the distress of deciding whether taking the last one was acceptable would really have been doing me a favor. Eventually, I decided that if anyone was going to provide that service, it might as well be someone conscious of the social role, so now I take the last cookie and don't feel guilty about it.