Preheat the oven to 350°F (175°C) and line a baking sheet with parchment paper.

In a large mixing bowl, beat together the unsalted butter and granulated sugar until light and fluffy for about 2 minutes.

Add the egg and vanilla extract, mixing until well combined.

In another bowl, whisk together the all-purpose flour, baking soda, baking powder, and salt.

Gradually add the dry ingredients to the wet mixture at low speed until thick dough forms; add milk and mix until combined.

Divide the dough into five portions and color each with gel food coloring, kneading to distribute color evenly.

Scoop about a tablespoon of dough, roll into a ball, and place onto the baking sheet about 2 inches apart.

Bake for 8-10 minutes until set and slightly cracked but not brown. Chill on the sheet for 5 minutes, then transfer to a wire rack to cool.

In a bowl, beat the unsalted butter until smooth.

Gradually add the powdered sugar, then mix in the heavy cream, vanilla extract, and a pinch of salt until fluffy.

Once cookies are cool, match them into pairs. Spread a generous dollop of filling onto one cookie and top with another, pressing gently.

Let assembled sandwiches sit for about 10 minutes to firm up.