Another thing that can make cookies hard is over-handling them--too much mixing after adding the dry ingredients, too many roll-outs, etc. Once you have creamed the sugar and butter, try stirring in the dry ingredients gently only until the dough has come together. Then wrap, refrigerate a few hours and roll them out-- fitting as many shapes on the first roll as possible. And then do only one more roll out, if necessary.
As the others said, though, some recipes are less forgiving than others...