SIFT FLOUR, SUGAR, BAKING SODA, COCOA POWDER AND SALT IN A BOWL. SET ASIDE.
IN A MIXING BOWL ADD EGGS, VANILLA, MILK AND SHORTENING. MIX ALL INGREDIENTS TILL BLENDED.
DROP COOKIES ON A BAKING SHEET BY TEASPOONFUL. BAKE IN OVEN APPROXIMATELY 10 MINUTES. REMOVE FROM OVEN AND PLACE ON WIRE RACK. LET COOL COMPLETELY.
FILLING:
COMBINE SHORTENING, CONFECTIONERS' SUGAR, MARSHMALLOW CREME AND VANILLA IN A MIXING BOWL AND BEAT TILL ALL INGREDIENTS ARE BLENDED AND SMOOTH. SPREAD FILLING BETWEEN 2 COOKIES TO MAKE A SANDWICH.