PREHEAT THE OVEN: Set the oven to 350°F (175°C). Line a baking sheet with parchment paper and set it aside.

MAKE THE COOKIE DOUGH: In a large mixing bowl, beat the butter and sugar together until light and fluffy, about 2 minutes. Add the egg and vanilla extract, mixing until fully incorporated.

COMBINE THE DRY INGREDIENTS: In a separate bowl, whisk together the flour, baking soda, baking powder, and salt. Gradually add the dry ingredients to the wet ingredients, mixing on low speed. The dough will be thick but soft. Add the milk and mix until combined.

COLOR THE DOUGH: Divide the dough into five portions. Using gel food coloring, tint each portion a different pastel color. Knead the coloring into the dough until evenly distributed.

SHAPE AND BAKE: Scoop about 1 tablespoon of dough for each cookie and roll it into a smooth ball. Place the dough balls onto the prepared baking sheet, spacing them about 2 inches apart. Bake for 8-10 minutes, until the edges are set and the tops look slightly cracked but not browned. Let the cookies cool on the baking sheet for 5 minutes before transferring them to a wire rack to cool completely.

MAKE THE VANILLA FILLING: In a mixing bowl, beat the butter until smooth. Gradually add the powdered sugar, then mix in the heavy cream (or milk), vanilla extract, and a pinch of salt. Continue beating until the mixture is fluffy and spreadable. Adjust consistency by adding more cream if too thick or more powdered sugar if too thin.

ASSEMBLE THE COOKIE SANDWICHES: Once the cookies are completely cool, match them into pairs of similar sizes. Using a piping bag or a spoon, spread a generous amount of filling onto the flat side of one cookie. Place a second cookie on top and press gently to spread the filling evenly.

SET BEFORE SERVING: Let the cookie sandwiches sit for about 10 minutes to allow the filling to firm up slightly.