In large bowl, using a a mixer, cream together butter, both sugars on medium speed until light and fluffy.
Add peanut butter and mix until combined.
Add egg and vanilla, mix until combined.
Set mixer to low, slowly mix in flour and baking soda until just incorporated. Do not overmix. Using a rubber spatula or wooden spoon, fold in M&M's. Chill the dough for 30 minutes. Preheat over to 350.
Line a cookie sheet with parchment paper. Form 1.5 inches diameter balls of dough and place on cookie sheet. Press gently, They spread very little during baking. Bake 10-12 minutes. Cookies will be soft and look undone. They firm up as they cool.
After cooling for several minutes on sheet, move to wire cooling rack to cool completely. Store in airtight container at room temperature for up to a week.