Beat the butter and sugar in a medium bowl until soft and creamy. Add the vanilla, egg, and flour into the creamed mixture and stir until it forms a soft dough.
In a separate bowl, make the chocolate dough in the same way.
Knead each dough separately until smooth, cover in plastic wrap, and chill for 30 minutes.
Roll out both pieces of dough to 10 x 7in. rectangles. Brush a little milk on the vanilla dough and lay the chocolate dough on top. Press down gently. Roll up from the short side to make a spiral log. While rolling the dough into a log, roll in nerd candy. Wrap and chill for 30 minutes.
Cut the roll into (about) 24 slices, arrange 1 1/2in. apart on two parchment paper-lined cookies sheets, and bake for 10-12 minutes.