In mixer, beat sugar and butter until blended. Mix in egg and vanilla.
In separate small bowl, combine flour, pecans, cocoa powder and baking soda. Add to butter mixture, beating until it forms a stiff dough.
Sprinkle sprinkles on work surface. Divide dough into 4 sections and shape into a 1 1/2 inch-diameter log. Roll each log in sprinkles, coating well. Wrap in plastic wrap; refrigerate at least 1 hour until firm.
Preheat oven to 350 degrees. cut logs into 1/8-inch-thick slices and lay on ungreased baking sheets about 2 inches apart. Bake 10-13 minutes or until firm and lightly browned. Transfer to cooling racks to cool completely.