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Combine dry ingredients in small bowl.
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Beat sugar,shortening and egg white in medium bowl with an electric mixer on medium speed until fluffy,about 2 minutes.
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Stir in flour mixture,then milk,until just blended.
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Drop dough by spoonfuls onto ungreased baking sheetes making 36 cookies.
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Bake at 425 degrees,until top springs back when lightly touched,5-7 minutes.
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Cool completely on baking sheets placed on wire racks.
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Spoon 2 teaspoons marshmallow spread on bottom half of cookies.
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Top with remaining cookies.
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Store in airtight container up to 3 days.