Preheat oven to 350 degrees. Beat butter, confectioners’ sugar, and salt with an electric mixer on medium-high speed until pale and fluffy, 3 to 4 minutes, scraping down side of bowl as necessary. Beat in vanilla. Reduce speed to low; add flour, and mix just until combined. Shape into 3/4-inch balls (chill dough if too sticky). Place sanding sugar in shallow bowls. Roll each ball in sanding sugar, and place on parchment-lined baking sheets, spacing 1 inch apart.
Bake, rotating sheets halfway through, until edges are lightly golden, 15 to 18 minutes. Let cookies cool completely on a wire rack. Spread 2 cookies with just enough filling to allow them to stick together.