Arleen,
There is an older thread under "The Alexander Palace" category called "Food, Wine, and Meals" where I posted a list of some of Nicholas's alleged favourite foods. There is also a thread under "The Imperial Family" category called "Alexandra's Eating Habits" which discusses what Alix liked to eat. As far as whether they actually cooked any of this, I don't know, but as far as I recall, I have never come across any accounts of them actually cooking themselves.
However, as Antonio pointed out, there are a couple of photographs in the book The Jewel Album of Tsar Nicholas II that indeed show Alexandra wearing a white apron and helping out with the cooking for a picnic in the forest.