I've been getting pastries from here for years and yes it's a bit pricey but the convenience of getting a coffee & a quick breakfast while being so upscale is worth it.
The macaroons are to DIE FOR!
I have to thank all the people who said where the location actually is so I will post the same. There are two Grand Lux locations but this kiosk/stand alone bakery is inside the Venetian behind an escalator. I'm always able to find it because to the left of the escalator is this great chocolate/candy/carmel apple glass stand.