Mix the wet ingredients: In the bowl of a stand mixer fitted with the paddle attachment, mix the butter, brown sugar and granulated sugar on medium speed until well combined, about 1 minute. Add the eggs, vanilla, and almond extract and mix again on medium speed until smooth and creamy, about 1 minute.
Add the dry ingredients: Add the flour, oats, baking soda, and salt and beat on medium-low speed until just combined, about 1 minute. Add the sprinkles and mix on low speed until just incorporated into the dough.
Chill the dough: The dough needs a quick rest. Cover the dough with plastic wrap and place in the fridge for 30 minutes while you preheat your oven and clean up a bit.
Preheat the oven: Preheat the oven to 350 degrees F. Line a large baking sheet with parchment paper.
Use a small cookie scoop to grab about 1 heaping tablespoon of dough and then use your hands to roll into a ball and place onto the prepared baking sheet. Repeat with more dough, placing the balls 2 inches apart, until you’ve filled up the baking sheet. (Not all cookies will fit on the sheet in one batch.)
Bake the cookies: Bake until the cookies are just golden brown on the edges, 9 to 10 minutes. Cool the cookies on the sheet for 5 minutes, then transfer to a wire rack to finish cooling. Once the baking sheet has cooled, repeat with remaining dough.
While the cookies cool, make the filling: In the bowl of a stand mixer fitted with the whisk attachment, beat the softened butter on high speed until light and fluffy, about 1 minute. Add the powdered sugar and vanilla and beat, starting on low speed and slowly increasing to high, until creamy, about 1 minute. Scrape down the sides of the bowl with a spatula. Add 1 tablespoon of milk and beat again until smooth and spreadable, 30 more seconds. If necessary, add another 1 tablespoon of milk to achieve desired consistency. Gently fold the sprinkles in with a spatula until well incorporated.
Assemble: Spread the flat bottom side of a cooled cookie with about 1 tablespoon of filling, leaving a small uncovered border around the edge of the cookie. Place another cookie on top, flat-side down, then very gently press down to create a cookie sandwich. Repeat with remaining cookies.
To store: Keep the cookies in an airtight container or reusable silicone bag at room temperature for 2 days, then transfer to the fridge for up to 1 week or the freezer for up to 3 months.