Preheat the oven to 350 degrees F. Line 2 large baking sheets with parchment paper and set aside.

In a large bowl, cream together the butter and sugar. Into a separate bowl, sift together the flour, baking soda, and salt. Alternating with the eggs, add the flour mixture to the butter mixture, beating well after the addition of each. Fold in the nuts, vanilla, and red and blue food coloring, being careful not to overmix the dough. (The food coloring will make the dough a grayish color, resembling the color of brains.)

Place the dough in batches in a potato ricer and push the dough out onto the prepared baking sheets in long tubes of dough. With your fingers, loosely pat and arrange the dough strands into clumps resembling brains, pushing to form 2 hemispheres and shaping into a walnut-like shape. Bake until golden brown on the bottom, 12 to 14 minutes. Remove from the oven and transfer to a wire rack to cool.

To make the "blood glaze," in a small bowl, combine the confectioners' sugar with the food coloring to make a thick glaze, whisking together. Add milk, 1 tablespoon at a time, until the glaze is a good consistency for drizzling. Drizzle the "blood" onto the cookies and serve either warm or at room temperature.