In a large bowl, combine sugar and oil, beat until crumbly.
Add eggs and milk.
Sift together dry ingredients - flour, cocoa, baking soda, baking powder and salt.
Gradually add to wet ingredients, beating well to combine.
Place dough in smaller bowl, cover with plastic wrap and place in refrigerator several hours or overnight until cool.
Preheat oven to 350 degrees and line cookie sheets with parchment paper or spray with non-stick cooking spray.
Divide dough by using a cookie dough scoop or teaspoon. Roll each into a ball.
Gently press down on each ball to flatten slightly. Bake at 350 degrees for 7-10 minutes or until cookie are firm yet soft to the touch.
Remove and cool completely.
This dough is sticky, you will need to wash your hands several times during the process.
In a medium bowl, combine ingredients until well combined.
Spoon filling onto the bottom of 1 cookie and top with another.
Store leftovers in refrigerator.