Prepare the dough: In the stand mixer bowl (if you’re using) or a large bowl, add the butter. Set aside.
In a separate bowl, combine flour and baking soda. Set aside.
In a medium saucepan, combine sugar, syrup, coffee, and spices. Heat until bubbles form around the edge of the pan. Watch as the bubbles get a bit bigger (about another minute or two). Turn off the heat.
Pour the heated mixture over the butter in the stand mixer bowl. Using a spatula, stir until the butter has melted. Keep stirring occasionally until the batter has cooled a bit.
Add the lemon and orange zests to this mixture.
Position the bowl in the stand mixer fitted with a dough hook. Turn it on to position 1 or 2 and slowly add the dry ingredients to the liquid mixture one spoonful at a time. Scrape down occasionally with a spatula. After all the dry ingredients are added, continue working the dough until a ball forms and it comes off the sides of the bowl. If you are not using a stand mixer, knead the dough until smooth on a lightly floured table. Wrap the dough in plastic wrap and store in the refrigerator overnight (if not longer! It really benefits from the rest).
Make the cookies: When you’re ready to bake, preheat oven to 400°F (200°C).
Remove the cold dough from the refrigerator about 20 to 30 minutes before you'll be rolling it out. (Note: It will be hard, but don't be discouraged!)
Cut off a piece of the room temperature dough and transfer to one sheet of parchment paper of a similar size as your baking sheet (you'll be using this to bake on and will save a step in transferring the individual shapes!). Sprinkle a bit of bench flour over the parchment paper and cover with another sheet of the same size. Roll out the dough between the parchment paper sheets to about 1/8-inch thickness.
Remove the top sheet and use your favorite cookie cutters to cut out desired shapes (lightly dipping the cutters in flour every couple of cookies helps prevent sticking). Try to use cookie cutters of a similar size for each batch to keep baking times uniform. Remove the "scraps," leaving just the final shapes behind.
Transfer this parchment paper sheet with the cut out shapes onto a baking sheet. Bake in the middle of the oven for about 8 to 10 minutes until lightly golden, keeping a close eye so that they don't burn (start checking at 7 minutes).
Remove from oven and let cool on racks completely before storing in an airtight container (they can last a few weeks, but they never make it that far in our house!). Best enjoyed with milk, coffee, or glögg (Swedish mulled wine).