Step 1
Preheat oven to 350 degrees F (175 degrees C). Line baking sheets with parchment paper.
Step 2
To make cookies beat 2/3 cup of vegetable shortening with 2 cups of sugar in a large mixing bowl with an electric mixer until the mixture is creamy. Beat in eggs and 2 teaspoons of vanilla extract until thoroughly combined. Whisk together 4 cups of flour the cocoa powder and baking soda until thoroughly mixed then beat the flour mixture into the vegetable shortening mixture in several additions alternating with the milk. Beat dough just until smooth.
Step 3
Drop dough by tablespoon onto the prepared baking sheets about 2 inches apart making the cookies as round as possible. Recipe should yield about 48 cookies.
Step 4
Bake in the preheated oven until the cookies are set in the middle 15 to 20 minutes. Watch carefully to avoid burning the cookies. Allow cookies to cool for several minutes on baking sheets before removing to finish cooling on racks.
Step 5
To make the filling pour 3 cups of milk into a large saucepan over low heat and whisk in 9 tablespoons of flour until smooth. Allow the mixture to come to a simmer whisking constantly until as thick and smooth as pudding about 3 minutes. Place the thickened mixture into the refrigerator to cool about 30 minutes.
Step 6
In a large mixing bowl beat 1 1/2 cup of vegetable shortening with the butter until thoroughly combined then beat in 2 1/4 cup of sugar and 1 tablespoon vanilla extract until the mixture is thoroughly combined. Beat the cooled milk mixture into the butter mixture until smooth and fluffy 1 to 2 minutes.
Step 7
Choose 2 cookies of the same size and spread a thick layer of filling on the flat side of a cookie; top with remaining cookie. Repeat with remaining cookies and frosting.