In a large bowl or the bowl of your mixer, cream the butter until soft and fluffy. Stir in the sugar, milk, vanilla, and egg until well combined.
Add the flour a cup at a time along with the baking powder and salt. Stir until well combined and the dough is fluffy.
Divide the dough in half. Stir the red food coloring into half of the dough and mix until well combined and the dough is red.
Refrigerate the dough for at least 2 hours, so it will be firm when you roll it out and braid it.
Remove the dough from the fridge and preheat your oven to 375F.
On a floured surface, take about a half cup of each color dough and roll out into long ropes. Lay them out side by side, press together tightly, and then twist. Cut or pinch the ropes when you have enough for a candy cane and shape on a large cookie sheet.
Bake the cookies for 9-12 minutes, or until the non-dyed part of the candy cane becomes lightly golden brown.
Remove to a wire rack and cool completely. Serve and enjoy!