Use a jumbo cookie for the saucer, half of a doughnut hole for the aliens head, and candy-coated chocolate pieces for the saucer lights and the aliens features.
For each antenna, make a hole in a mini-marshmallow with a toothpick. Press a strip of string licorice into each marshmallow. Make two holes in the doughnut hole. Dip the antennae ends into frosting, then push them into the holes. Assemble the pieces with canned frosting.