In a small bowl whisk together the powdered sugar, butter, milk and vanilla to make a smooth frosting glue.
Press a pretzel into a marshmallow. Brush the outside of the marshmallow very lightly with the frosting and gently roll it in blue or silver sugar to cover the entire marshmallow surface.
Use a small dab of frosting to glue the flat base of a chocolate Hug® to the end of the marshmallow. Let stand for at least 30 minutes to dry the glue. Repeat with remaining ingredients.