Heat oven to 350 degrees F. Bake cookies as directed on package. Cool completely, about 15 minutes.
For each sandwich cookie, spread 1 tablespoon frosting on bottom of 1 cookie. Top with second cookie, bottom side down; press together gently. Roll cookie sandwiches in candy sprinkles to cover edge of frosting center. Store loosely covered. 12 sandwich cookies.
Vanilla frosting can be tinted with food coloring, if desired. Substitute any of the Pillsbury® Holiday Cookies shapes for the Christmas tree shape, if desired, for variety or to use this recipe for other holidays and occasions.