Preheat the oven to 350 degrees. In a large bowl, cream together the butter and sugar. Into a separate bowl, sift together the flour, baking soda, and salt. Alternating with the eggs, add to the butter mixture, beating well after the addition of each. Fold in the nuts, vanilla, and red and blue food coloring, being careful not to overmix the dough.
Place a large colander or collapsible steamer over a large baking sheet lined with parchment paper. Using a rubber spatula, push the dough through the holes to make long tubes of dough. Pile and loosely pat the dough strands into clumps to resemble brains. Bake until golden brown on the bottom, 8 to 10 minutes.
Remove from the oven and transfer to a wire rack to cool. To make the "blood glaze," in a small bowl, combine the confectioner's sugar with the remaining 2 tablespoons of milk. Whisk together, adding more milk as necessary to make a thick glaze. Add the food coloring and whisk to combine. Drizzle the "blood" onto the cookies and serve either warm or at room temperature.
Makes about 4 dozen