Heat oven to 350°F. Remove wrappers from candies.
Beat butter, granulated sugar, egg and vanilla in large bowl until well blended. 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 red sugar, granulated sugar, powdered sugar or a combination of any of the sugars. Place on ungreased cookie sheet.
Bake 8 to 10 minutes or until edges are lightly browned 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. Makes about 48 cookies.