In a large mixing bowl, cream the shortening, peanut butter and sugars. Add eggs, one at a time, beating well after each addition. Add vanilla. Combine the flour, baking soda, and salt; add to creamed mixture and mix well.
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For filling, in a large mixing bowl, beat the peanut butter, confectioners' sugar, vanilla and enough milk to achieve spreading consistency. Spread on half of the cookies and top each with another cookie.
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