Sift the flour into a large mixing bowl, and add the cubed butter. Use your fingertips to rub the butter into the flour until no large lumps of butter remain.
Add the sugar, oats and vanilla extract. Use a palette knife or small spatula to cut the mixture together, adding a tablespoon of milk at a time until you have a soft dough (I used about 3 tbsp in total).
Wrap the dough in cling film, and chill in the fridge for 30 minutes.
Preheat the oven to 180°C (Gas Mark 4 / 350°F). Line two baking trays with non-stick paper.
On a lightly floured surface, roll out the cookie dough until it's around 1/2 cm thick. Cut out circles with a cookie cutter, re-rolling any trimmings. I ended up with 12 cookies measuring around 7cm in diameter.
Place the cookies on the lined baking sheets, and bake for around 15 minutes, or until golden brown. Allow them to cool on the baking tray for a few minutes until they've firmed up a little, then transfer to a cooling rack to cool completely.
When the cookies are completely cool (I left mine overnight), you can ice them. In separate bowls, mix up a small amount of each different icing colour. For each colour, you'll need a couple of tablespoons of icing sugar, a squeeze of food colouring, and a tiny dash of hot water. Mix well to combine. You can adjust the colour by adding more food colouring if necessary, and adjust the consistency by adding more icing sugar or a tiny bit more water. The icing shouldn't be too runny, or it will overflow the edge of the cookie.
Place a cookie on a flat surface, and add a spoonful of black icing. A teaspoon should be more than enough - you'll probably need less. Add a small dollop (1/2 teaspoon or so) of each of your coloured icings - I used pink, purple and blue.
Slowly rotating the cookie, use a cocktail stick to carefully spread the icing out to the edges. This will start the marbling of the colours.
Next use the cocktail stick to swirl the colours a little in the centre of the cookie.
If using star-shaped sprinkles, add them while the icing is wet. Gold shimmer spray can be added when the icing has dried.