1Preheat oven to 350 degrees F (175 degrees C). Grease cookie sheets.
2In a medium bowl, stir together the flour, baking soda, salt, cocoa and sugar. Add the egg, oil and milk, stir until smooth and well blended. Drop by tablespoons 3 inches apart, onto the prepared cookie sheets.
3Bake for 10 to 12 minutes in the preheated oven. Cool before removing from baking sheets.
4To make the filling, combine the butter, confectioners' sugar, marshmallow creme and vanilla, in a bowl. Beat with an electric mixer until smooth. Spread filling between two cooled cookies.