1. Heat oven to 350°F. Remove wrappers from candies.
2. 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.
3. 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.
4. 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. About 4 dozen cookies.