For cookies, beat shortening with an electric mixer on medium to high speed for 30 seconds. Add about 1 cup of the flour, half the buttermilk, the sugar, 2/3 cup cocoa, egg, baking soda, 1 teaspoon vanilla, and 1/8 teaspoon salt. Beat until thoroughly combined. Beat in the remaining 1 cup flour and remaining buttermilk. Drop by rounded tablespoons 2 inches apart onto ungreased cookie sheets. Bake in a 350 degree F oven for 8 to 10 minutes or until the edges are firm; cool on a wire rack.
For filling, in a saucepan combine 3/4 cup milk and the 1/4 cup flour. Cook and stir until thickened and bubbly. Cook and stir 2 minutes more. Remove from heat; cool.
In a mixing bowl beat 3/4 cup margarine or butter with an electric mixer on medium to high speed for 30 seconds. Add the 2 cups powdered sugar; beat until fluffy. Add 1 teaspoon vanilla. Beat cooled milk mixture, 1 large spoonful at a time, into margarine mixture. Beat on high for 1 minute or until filling is smooth and fluffy. Spread about 2 tablespoons filling on the flat side of half the cooled cookies. Top with the remaining cookies; flat side down.
For frosting beat together 1/4 cup cocoa powder and 3 tablespoons butter or margarine. Gradually beat in 1 cup of the powdered sugar. Slowly beat in 2 tablespoons milk and 1/2 teaspoon vanilla. Gradually beat in remaining 1 cup powdered sugar. Beat in additional milk, if needed, to reach spreading consistency. Frost cookies. Store in the refrigerator. Makes 14 filled cookies.