Unwrap 30-36 candies and discard the foil wrappers.
Add butter, sugar, egg and vanilla to a mixing bowl and beat for 2 minutes until fluffy.
Scrape down the sides and add in the flour, salt and baking soda. Beat and add in milk.
Beat just until blended well.
Use a tablespoon portion scoop to scoop dough into the palm of your hand. Roll into a ball and roll into candy jimmies to evenly coat. Place on an ungreased cookie sheet.
Bake for 8-10 minutes.
Remove from oven and top with candy.
Let set to cool for another few minutes on the baking sheet.