In a medium-sized bowl, add the flour, baking soda, baking powder, and salt, mix to combine, set aside.
In a large bowl using a stand or hand mixer, cream together the butter and sugar until combined. Add the egg and vanilla, mix to combine. Slowly add the dry ingredients, alternating with the milk until fully incorporated. Start with 3 tablespoons of milk, if dough seems dry add the last tablespoon.
Place in the fridge at least one hour to chill, I suggest waiting overnight if you can. Preheat oven to 375 degrees.
Roll dough into 1 tablespoon sized balls, roll in colored sugar and place on a parchment or silicone lined baking sheet about 2 inches apart. Bake for 8-10 minutes, until the edges are slightly golden brown, do not overbake.
Let cool on a wired rack.