Beat first 4 ingredients in large bowl with mixer until blended.
Add flour and baking soda; mix well. Refrigerate 30 min.
Heat oven to 375F.
Roll half the dough into 12x9-inch rectangle on lightly floured surface.
Brush dough with half the butter; sprinkle with 2 Tbsp. colored sugar. Starting from one short side, roll up dough tightly to form log. Repeat with remaining dough.
Roll logs in remaining colored sugar until evenly coated; wrap individually in plastic wrap. Refrigerate 1 hour.
Cut dough into 1/4-inch thick slices.
Place, 2 inches apart, on baking sheets sprayed with cooking spray.
