Preheat oven to 350°F. Line two baking sheets with parchment. Whisk together flour, cocoa, baking soda and salt.
Cream butter and sugar with an electric mixer until fluffy, 2 to 3 minutes. Beat in egg and vanilla until smooth. Beat in flour mixture.
Roll a teaspoonful of dough between your palms, then roll ball in sprinkles. Repeat with remaining dough and sprinkles. Place 9 balls on each baking sheet, pressing lightly to flatten just a bit. Place two mini M&M's or red hots on one end of each ball. Insert 4 pretzel stick halves into each side of each ball.
Bake one sheet of cookies until dry on top, 12 minutes. Let cool on sheet on wire rack. Repeat with remaining sheet.