Preheat Oven:
Preheat oven to 350°F (175°C). Line a baking sheet with parchment paper.
Make the Cookie Dough:
In a medium bowl, whisk together flour, cocoa powder, baking soda, baking powder, and salt.
In a large bowl, cream together butter and sugar until light and fluffy. Beat in egg and vanilla. Gradually mix in dry ingredients until a dough forms.
Shape the Cookies:
Roll dough into small balls (about 1 inch) and place on the prepared baking sheet. Flatten slightly with the bottom of a glass or your hand.
Bake:
Bake for 10–12 minutes, until set. Do not overbake. Allow cookies to cool on the baking sheet for 5 minutes, then transfer to a wire rack to cool completely.
Prepare the Cream Filling:
Beat together butter, shortening, powdered sugar, and vanilla extract until smooth and creamy. Add milk, 1 teaspoon at a time, until desired consistency is reached.
Assemble the Oreos:
Spread or pipe a small amount of filling onto the flat side of one cookie, then sandwich with another cookie. Repeat with remaining cookies.