Step 1: Beat butter in large bowl of electric mixer at high speed until creamy, about 1 minute.
Step 2: Add sugar and vanilla; beat until light and fluffy, about 2 minutes.
Step 3: Gradually beat in flour and baking soda until smooth. Stir in oats.
Step 4: Refrigerate dough in mixer bowl 10 minutes for easier handling.
Step 5: Remove dough from refrigerator.
Step 6: Divide dough into 2 to 3 equal pieces.
Step 7: Roll each piece into a log about 1 1/2 inches in diameter.
Step 8: Pour sprinkles into pie plate; roll logs in sprinkles to coat evenly.
Step 9: Wrap logs in plastic wrap and refrigerate overnight.
Step 10: Heat oven to 325F.
Step 11: Cut dough into 1/4-inch slices.
Step 12: Bake on greased baking sheet until lightly browned and slightly firm to the touch, about 20 minutes. Remove to cooling rack.
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