1. Beat butter and sugar in large mixing bowl; add egg, milk and vanilla, blending thoroughly. Stir together flour, baking soda and salt. Add to butter mixture, blending well. Refrigerate dough about 1 hour or until firm enough to handle. (Dough will still be soft.)
2. Heat oven to 350°F. Lightly grease cookie sheet or line with parchment paper.
3. Roll dough into 3/4-inch balls. Place on prepared cookie sheet.
4. Bake 6 to 8 minutes or until cookie is set and edges are lightly browned. Cool slightly; remove from cookie sheet to wire rack. Cool completely.
5. Remove wrappers from chocolates; coarsely chop. Place chocolate and heavy cream in small microwave-safe bowl. Microwave at MEDIUM (50%) 30 seconds; stir. If necessary, microwave at MEDIUM an additional 10 seconds at a time, stirring after each heating, until chocolate is melted and mixture is smooth when stirred. Cool to spreading consistency.
6. Place about 1 teaspoon chocolate mixture on bottom of one cookie. Press another cookie onto chocolate. Allow chocolate to set; sprinkle cookie tops with cocoa. Makes about 36 sandwich cookies.