Adjust the oven racks to the upper- and lower-middle positions and heat the oven to 375 degrees F. Line 2 large baking sheets with parchment paper.
In a medium bowl, whisk together flour, baking soda, and salt; set aside.
In the bowl of a stand mixer with the flat beater attached, cream shortening, peanut butter and sugars on medium-high speed until light and fluffy, 1 to 2 minutes. Add vanilla extract and eggs one at a time and beat at medium speed until combined, about 30 seconds. Reduce speed to low. Add the dry ingredients and beat at low speed until just combined, about 30 seconds, scraping down the bowl as needed.
Place the remaining ⅓ cup sugar for rolling in a shallow bowl. Roll heaping teaspoons of dough into ball between your palms, roll the ball in the sugar, and then place it on the prepared baking sheet spacing the balls about 2 inches apart Dip a dinner fork in cold water and make crisscross design.
Bake until cookies are puffed and set but not brown, 6-8 minutes. Cool cookies on cookie sheet until set, about 3 minutes, then transfer to wire rack to cool completely before filling.
To make the filling, in the bowl of a stand mixer, beat the peanut butter, butter, sugar and vanilla until smooth. add milk until desired consistency is reached. The filling should be thick but spreadable. (like the inside of an Oreo)
To assemble the cookies, shape cream filling into 2 teaspoon sized balls. Place cream filling ball into the center of one cookie. Place another cookie, equal in size to the first, on top of the cream. Lightly press, to work the filling evenly to the outsides of the cookie. Continue this process until all the cookies have been sandwiched with cream.