What exactly do Wrinklers do?

(Yes, note the Christmas Hat)

Wrinklers are leech-like creatures which has a 0.0003% chance to spawn, per frame, and the chances increase as you go through each stage of the Grandmapocalypse.

When spawned, they will appear in the Big Cookie Window, where it'll move towards your cookie.

When a Wrinkler is attached to your cookie, you gain a 5% debuff to your Cookie Per Second, and this stacks as multiple Wrinklers attaches to it (up to a maximum of 10, thus 50% debuff).
To remove one, simply click on it (multiple times) and they'll pop, returning 1.1 times the cookies it leeched.

In the long run, although they appear to be a debuff - They actually return more than lost, since none of the cookies they leech are actually destroyed.

You should not kill them after a small amount of time they are a long term game mechanic that you can get loads of cookies from if you leave them for a long time.