Twig file with BEM classes: 

<div class="cookieconsent">
  <p class="cookieconsent__message"> ... 
    <a class="cookieconsent__link" href="{{ link }}"> ... </a>
  </p>
  <a class="cookieconsent__accept" href="#null"> ... </a>
</div>

Theming the cookie:

@import "sass-essentials";

.cookieconsent {
  &__message {}
  &__link {}
  &__accept {}
}