Place the flour, cocoa, and confectioner’s sugar into the bowl of a food processor fitted with a metal blade. Process a few seconds to mix. Add the butter pieces and process until the mixture comes together. You can also mix by hand by cutting the margarine into the dry ingredients with a pastry cutter or two knives and then use your hands to squeeze the dough until it comes together.
Divide the dough into 2 balls, wrap in plastic and flatten. Place in the freezer for 20 minutes or overnight. If kept in the freezer overnight, thaw before using just until you can gently press the dough.
Preheat oven to 400°F and cover 3 cookies sheets with parchment paper. You can also bake in batches. When the dough is chilled, remove from freezer and unwrap. One ball at a time, roll out on parchment paper sprinkled with flour. I like to roll the dough between 2 pieces of parchment paper, peeling back the top layer of parchment and adding a little flour to the dough as I roll. Try to roll the dough a little less than ¼ inch thick. Peel off the top piece of parchment and use small, no larger than 2-inch, cookie cutters to cut shapes. You should have a small metal blade spatula or knife ready to transfer the cut cookies onto the prepared baking sheets. Re-roll any dough scraps between 2 sheets of parchment and cut.
Bake for 10 minutes and let cool in the pan for 2 minutes and then slide the parchment off the pan to cool. Meanwhile, prepare the chocolate filling.
Melt the chocolate and butter in a bowl over simmering water until melted and smooth. Heat the milk in the microwave for 15 seconds. Remove the bowl from the heat and add the heated milk, vanilla and confectioner’s sugar to the chocolate. Mix well and then place in the fridge for 15 minutes before using. If you can pour the filling, it is not yet thick enough to use.
To assemble the cookies, spread about ½ – 1 teaspoon of the chocolate filling on the bottom of one cookie and cover with the bottom of another. You can also use a pastry bag to squeeze the filling onto the cookies. Squeeze the cookies gently to spread the filling to the edges. Let set at room temperature for 30 minutes to set.