A 'grease cookie' is part of a BP cartridge load that uses a paper patched bullet.
It takes over the function of grease in the grooves when a grease groove bullet is used.
The purpose is to leave a coat of grease in the bore to keep the powder residue soft.
As mentioned, it would be a non petroleum grease such as lard or tallow.
Taking up space is not the function, although it certainly does.
The concept of 'express' is a light-ish bullet driven to maximum velocity, so any space it takes up runs against the concept.
It's possible, likely even, that with light bullets in BP cartridges an extra grease bearing wad was a necessary evil to keep the rifle free enough of fouling for use in the field, the short bullets having insufficient grooves to do the job.
It's likely that any and all fabrics of the day were tried, as long as they would absorb grease and hold it. They are loaded over a tight fitting hard card wad, the powder being compressed before seating.
