Beat butter and sugar until creamy. Add egg, vanilla and lemon extract; blend well. (Add about 1/2 teaspoon food color if colored dough is desired). Stir together flour, baking powder and salt; gradually add to butter mixture. (Batter will be stiff; stir in last part with wooden spoon or work in with hands). Divide dough in half. Roll each half into ball and flatten to form disk; wrap each disk and refrigerate until dough is firm enough to roll.
Place candies of same color in food processor; coarsely crush. (Or place candies in heavy-duty food storage bag and crush with rolling pin). Store crushed candies in food storage bags until ready to use so that candies don't clump.
Roll one half of dough at a time between two pieces of wax paper to about 1/8 inch thickness. Remove top sheet of wax paper. Cut into desired shapes with cookie cutters. Remove excess dough from around cut-outs. Slide bottom sheet with cookies onto tray or cookie sheet. Refrigerate cookies and tray.
Heat oven to 350°F. Line several cookie sheets with foil; spray lightly with nonstick cooking spray. When firm peel wax paper from bottom of cookies and place on prepared cookie sheet. With wooden pick or straw, pierce small hole at top of cookie for use as hanging ornament, if desired. Cut out shapes for the stained glass in each cookie using small cookie cutters or small knife.
Partially bake cookies 6 to 7 minutes. Remove from oven and cool cookie sheet and cookies on wire rack. Fill cut-out areas with crushed candies. Return cookies to oven; bake an additional 4 to 5 minutes or until candies are melted. Allow cookies to cool completely on cookie sheet. Carefully peel off foil; store in covered container with wax paper between cookies.