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Line 2 baking sheets with parchment paper (or Sil-Pat); set aside.
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In a large bowl, beat butter on medium speed until creamy. Add sugar, cocoa powder, baking soda, and salt. Mix until well combined.
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Mix in the vanilla and egg. Scrape the sides of the bowl as needed. Mix in the flour. Dough should not be sticky.
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Fill a small bowl with sprinkles.
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Measure out dough by level tablespoons. Roll dough into a ball between your palms into a ball. Roll dough in sprinkles until coated. {I found it helped to gently drop the dough ball into the sprinkles to press them into the dough.} Place sprinkle coated ball onto baking sheet. Repeat with remaining dough. Place in refrigerator for 30 minutes.
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Preheat oven to 375 degrees F.
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Bake for 12 minutes. Cool on baking sheet for 2 minutes. Remove cookies to wire rack and cool completely.