In a large bowl, using an electric mixer on low, beat all the ingredients, except the colored sugar, until smooth, stopping occasionally to scrape down the sides of the bowl. The dough will be crumbly at first, but will be smooth after 2 to 3 minutes. Refrigerate until firm, 1 to 2 hours.
Position racks in the top and bottom thirds of the oven; preheat to 400 degrees . Using a cookie press and following the manufacturer's instructions, press the cookies directly onto two cold baking sheets (don't line with paper or use nonstick sheets), spacing about 2 inches apart. Sprinkle with the colored sugar. Bake until pale golden brown on the bottom, rotating the sheets and reversing from the top to bottom racks halfway through baking, 6 to 8 minutes. Transfer the cookies to a wire rack; let cool. Repeat with the remaining dough on clean, cold baking sheets.