In a large mixing bowl, whisk together the flour, baking powder, and salt.
In another large mixing bowl, using an electric mixer, beat butter and sugar together until light and fluffy. Beat in the egg, milk, and vanilla until well combined.
Gradually add the flour mixture to the butter mixture, beating until a soft dough forms. Shape into a large ball, or disc shape.
Cut dough evenly into the number of colors you are making. Tint each section with a color of paste or food coloring. You can do this by beating each section with the mixer or by putting on food gloves and blending it with your hands. (I did this) Colors do not have to be perfect!
Roll each section into a rope about 12-14 inches long. Lay them beside each other and gently press them together. Cut in half in the middle of ropes. Stack the cut ropes to make 2 layers, alternate the colors. Gently roll them together, twisting and stretching dough at the same time. Make a log about 10-12 inches long. Press the edges with palm of your hand so they are even. Roll log in parchment paper and chill for 30 minutes.
Preheat oven to 350 degrees F. Line baking sheets with parchment paper.
Pour colored sugars, sparkles, sprinkles onto a plate. Make a straight line with each of them. Unroll the log and slice into 1/4-inch thick slices. Roll slices across the sugars. Arrange on baking sheets.
Bake about 8-10 minutes until bottoms are light golden brown. Allow to set on cookie sheets until firm enough to remove. Transfer to a wire cooling rack. Do not overbake as these will continue to harden while cooling. We prefer a softer cookie.