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Preheat oven to 350 degrees.
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In a small bowl or measuring cup, combine hot water and cocoa and mix well.
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Cool for 5 to 10 minutes.
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In a large bowl, cream shortening and sugar.
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Add cocoa mixture, eggs and vanilla and mix well.
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Combine dry ingredients and add alternately to creamed mixture with buttermilk.
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Mix until well combined.
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Drop by rounded tablespoonfuls onto a greased cookie sheet about 2 inches apart.
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Flatten slightly with the back of a spoon.
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Bake for 10 to 12 minutes or until just firm to touch.
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Remove to racks to cool.
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Filling: In a saucepan, combine flour and salt.
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Gradually whisk in milk until smooth.
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Stir constantly over medium-high heat until thick, about 5 minutes.
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Remove from heat and pour or spoon into a bowl, cover and refrigerate until completely chilled.
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In a medium bowl, cream shortening, sugar and vanilla.
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Add chilled mixture and beat for 5 to 7 minutes until fluffy.
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Spread filling on half of the cookies and top with remaining cookies.
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Individually wrap with plastic wrap and store in refrigerator.