Heat oven to 350 degrees. In a large bowl, cream butter and sugar until light and fluffy. Add egg yolks, flour, salt, and vanilla. Mix thoroughly.
Fill a cookie press with the dough, and turn out cookies 1 to 2 inches apart onto an unbuttered baking sheet. Sprinkle cookies with colored sanding sugars.
Bake until the cookies are lightly browned, 7 to 10 minutes. To ensure even baking, rotate sheet halfway through the baking process. Transfer to a wire rack, and let cool.