BEAT first 4 ingredients in large bowl with mixer until blended. Add flour and baking soda; mix well. Refrigerate 30 min.
HEAT oven to 375ºF. 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. Bake 9 to 11 min. or until lightly browned.