Prep: Preheat the oven to 350°. Line a baking sheet with parchment paper or a silicone mat.
Whisk: In a small bowl, whisk together the flour, baking soda and salt; set aside.
Beat: In a large mixing bowl either with a stand mixer or a hand mixer, beat together the butter and sugar on medium speed for 2 minutes or until light and fluffy. Add in the vanilla and beat for another 30 seconds, scraping down sides if needed.
Add Dry Ingredients: Add in half of the flour mixture and beat on low speed until combined. Add in the other half of the flour mixture and beat until just combined. Add in a tablespoon of milk at a time, beating on low speed until the ingredients form a dough ball.
Roll Out: Dust a clean counter or cutting board with a little flour and place half of the dough in a ball on top of the flour. Sprinkle a little flour on top of the dough ball and with a rolling pin, roll out the dough until it is 1/3" thick. Cut out desired shapes using cookie cutters. Transfer the shapes to a baking sheet. Gather up the scraps of dough and re-roll it before cutting out more shapes. If the dough is hard to work with, add more flour to the counter and the top of the dough or place the dough ball in the fridge for 5-10 minutes.
Bake: Bake cookies for 8-10 minutes or until they are just turning golden brown on the sides.
Let Cool: Let them rest on the cookie sheet for 2-4 minutes and then transfer them to a cooling rack to finish cooling.
Icing: To make the icing - place the powdered sugar, vanilla and 1 tablespoon of milk in a medium bowl and whisk together until the sugar has melted and the icing is smooth. If needed, add in another tablespoon of milk until you have your desired consistency. The firmer the icing, the more will be on the cookies. If you want a thinner icing (less sugar for kids), add a little more milk.
Add Color: Separate the icing into different bowls for however many colors of icing you want. I did 4 different colors. Add in a couple of drops of artificial-free food dye and mix until incorporated, adding more drops if needed.
Decorate: I placed the icing into a zip-lock baggie to decorate the cookies, but you can also spread it on with a knife or paint it on with a paintbrush. Add some sprinkles and then let the icing on the cookies harden on cooling rack.