Preheat oven to 375 degrees. In a large bowl, cream shortening, sugar, egg, and vanilla extract together until light and fluffy. Combine flour, cocoa, baking soda, and salt. Alternately add dry ingredients with milk until just combined. Drop by the teaspoonful onto an ungreased cookie sheet. Bake 10 to 12 minutes, until soft-set; do not over bake. Cool and spread 1 cookie with about 1-1/2 tablespoons of Vanilla Creme filling. Place an additional cookie on top.
To make the Vanilla Creme filling, cream butter and shortening together in a small mixing bowl, then gradually beat in marshmallow creme. Blend in vanilla extract and confectioners' sugar; beat to spreading consistency.