Cookies: Cream shortening and sugar in mixer bowl until light and fluffy. Blend in vanilla, soda and egg. Add milk, flour, cocoa and salt; mix well. Drop by tablespoonfuls 2 inches apart onto ungreased cookie sheet. Bake 425 degrees for 5 to 6 minutes or until firm. Remove to wire rack to cool.
Filling: Blend milk and flour in saucepan. Cook until thickened, stirring constantly. Cream margarine and shortening in mixer bowl for 4 minutes. Add flour mixture and vanilla; beat for 4 minutes longer.
Assembly: Spread filling on half the cookies; top with remaining cookies.