In the bowl of a mixer, cream together the butter and sugars. Beat in vanilla and the eggs, one at a time until well incorporated. Whisk together the flour, salt, baking soda, cinnamon, cocoa powder, and oats. Beat into the cream mixture. Refrigerate cookie dough for 15 minutes.
Drop about 1 tbsp of dough onto an ungreased cookie sheet and bake at 350 degrees for about 10 minutes. The centers should still be slightly underdone when you remove them from the oven. Cool completely on a wire rack.
Spread about 1 tbsp of cream filling (recipe below) on the bottom of one cookie and then top with another cookie.
Cream together the shortening and marshmallow cream. Add the powdered sugar and vanilla, beat well. Thin with milk until you get the right consistency. The mixture should be thick and creamy, but easily spreadable.
Also, this recipe has been added to my Recipe Box if you ever want to refer to it in the future. The Recipe Box is a great little place for super yummy recipes I share through out my blog. You should take a look!