Preheat the oven to 350 degrees F. Grease 3 or 4 baking sheets and set aside.
TO MAKE THE PIES:
Beat the sugar and shortening in the large bowl of an electric mixer until well blended. Mix the flour, cocoa, baking soda and salt in a medium-sized bowl with a wire whisk until light and thoroughly combined. (Using the wire whisk to blend the dry ingredients, in this case, makes sifting unnecessary.) With the electric mixer running on low speed, add the flour mixture and milk alternately to the sugar mixture, starting and ending with the flour mixture, beating well after each addition. beat in the vanilla.
Drop the batter by heaping measuring TBLS. 2 inches apart on the prepared baking sheets. (The little cakes will be about 2 1/2 inches in diameter after baking) You should have about 40 cakes. Bake for 15 minutes or until cakes spring back when touched lightly. Remove to wire racks to cool.
TO MAKE THE FILLING:
In a large bowl, combine the butter, marshmallow creme, sugar, shortening and vanilla. Beat for 2 minutes, using an electric mixer set on high speed, until light and fluffy.
Place about 1 TBS of filling on the flat sides of half the cakes. Top with the remaining cakes and press together so that the filling squashes out the sides a little.
NOTE: Because of all the butter in the filling, these pies should not be held at room temperature indefinitely. Pies that are not to be eaten soon after baking should be wrapped in plastic film and refrigerated or frozen for future use.