Preheat your oven to 425 °F.
Line 2-3 large-sized cookie sheets withparchment paper.
For cookies in a large-sized bowl, blendtogether flour, baking soda and cocoa powder.
In another medium-sized bowl, add sugar andshortening and beat until smooth and creamy.
In the bowl of sugar mixture, add eggs andvanilla and whisk until well blended.
In the bowl of flour mixture, add egg mixtureand mix until a soft dough forms.
With a tablespoon, place 24 cookies onto theprepared cookie sheet about 2-inch apart.
With your hands, slightly flatten the cookies.
Bake for approximately 15-20 minutes.
Remove the cookie sheets from oven and placeonto a cooling rack to cool completely.
Meanwhile, for filling in a saucepan, add milkover low heat.
Slowly add flour, beating continuously untilsmooth.
Cook until just boiling, stirring continuously.
Cook for about 3 minutes or until thick,stirring continuously.
Remove from heat and transfer into a heatproofbowl. Refrigerate to cool for about 30 minutes.
In another large-sized bowl, add butter andshortening and beat until smooth.
Add vanilla and sugar and beat until wellblended.
Remove the thickened milk mixture from the refrigerator. Add butter mixture and beat until fluffy.
Place 24 cookies onto a smooth surface.
Place a thick layer onto each cookie evenly.
Cover with remaining cookies to make a sandwichand serve.