Beat butter, sugar, egg, and vanilla in large bowl until well bended. In a separate bowl, stir together flour, baking soda, and salt; add alternately with milk to butter mixture, beating until well blended.
Shape dough into 1-inch balls. Roll in sprinkles. Place on ungreased cookie sheet.
Bake for 8 to 10 minutes or until edges are lightly brownies and cookie is set.Remove from oven; cool 2 to 3 minutes. Press a candy piece into center of each cookie. Remove from cookie sheet to wire rack. Cool completely.