Decided to take another shot at baking with Small. While he napped this afternoon I got all the ingredients sorted out for shortbread, creamed the butter and sugar together and left the flour aside for him to mix in as he likes mixing.
When he woke up I gave him enough time to come round a bit then said we were going to make biscuits for Daddy. This was accepted cheerfully as Big's new term started today (no kids but still need the teachers in) and Small was not adjusting well to Daddy being missing. We mixed in the flour, turned out the dough and cut out star shapes with cutters. Small got a bit carried away and just liked plunging the cutters into the dough, regardless of whether that bit of dough already had a shape cut out of it and ate a fair bit of the raw dough too but we had fun with it and wasn't too messy. He even helped with the washing up afterwards bless him.
So the trick seems to be to pick your recipes carefully and make sure there's a bit where he can just play and have fun and it doesn't matter.