Step 1: Heat oven to 375°F.
Step 2: Coat baking sheet(s) with nonstick spray.
Step 3: For the chocolate cookies; beat butter, sugar, baking soda, baking powder and salt in a large bowl with mixer on medium speed until fluffy. Beat in egg and vanilla, then cocoa until blended. With mixer on low speed, slowly beat in milk until blended. By hand, stir in flour. Drop level tablespoons 2 inches apart on prepared baking sheet(s).
Step 4: Bake 8 minutes or until tops spring back when lightly pressed. Cool on baking sheet 1 minute before removing to a wire rack to cool completely. Repeat with remaining batter.
Step 5: For marshmallow filling; with a wooden spoon, vigorously mix all ingredients until blended and smooth.
Step 6: Spread about 1/2 tablespoons or more on half the cooled cookies; top each with another cookie, pressing to adhere.
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