Oleogelation is an alternative process to improve the nutritional properties of food by creating soft-matter structures with the same functionality as commercial fats (shortenings). In this study, oleogels were produced by adding organic candelilla wax at 3% (OC03), 6% (OC06), and 9% (OC09) to extra-virgin linseed oil, and then characterized by their physicochemical properties. Furthermore, the physicochemical and sensorial properties of five cookie formulations were evaluated. Organic candelilla wax influenced the oleogel formulations, giving higher values of color (L* and b*), texture, acidity index, and melting point. In the cookie formulations, the luminosity values decreased when the percentage of oleogel was increased; reddish trends were obtained (a* values) for the cookie where 70% of the fat was replaced by the oleogel (C70), and more yellow trends were obtained (b* values) for C100. The moisture content was higher in cookies with oleogels, but it was within quality limits. The percentage of fat migration was lower in cookies with a mixture of fats and oleogels. In terms of hardness, the substitution of oleogels resulted in softer cookies. In terms of the sensory evaluation, the most accepted cookie was C70. Therefore, this study demonstrates the possibility of using organic-candelilla-wax-based oleogels in a real food model rich in unsaturated fats.