When you have cookie sheets or other baking pans that have baked on grease on them you can use baking soda and hydrogen peroxide or baking soda and vinegar to clean the baked on grease from the cookie sheets.
First sprinkle some baking soda onto the cookie sheet and then pour either some hydrogen peroxide or vinegar onto the cookie sheet.
Allow it to sit for a few minutes and then use a scrub brush to scrub the baking soda and vinegar or hydrogen peroxide around on the cookie sheet.
The baked on grease should then easily come off.
If the grease is stubborn you can use some oven cleaner to spray on the cookie sheet and then the baked on grease should easily come off.
Using some purple power degreaser will also work to remove baked on grease but you may need to scrub the cookie sheet using a scrub brush.
Then use a sponge or cloth to wipe away the grease and then wash the cookie sheet like normal.