In a small bowl, combine cocoa and water; mix well. Cool for 5 minutes. In a mixing bowl, cream shortening and sugar. Add cocoa mixture, eggs and vanilla; mix well. Combine dry ingredients. Add to creamed mixture alternately with buttermilk; mix well.
Drop by rounded tablespoonfuls 2 in. apart onto greased baking sheets. Flatten slightly with a spoon. Bake at 350 degrees F for 10-12 minutes or until firm to the touch. Remove to wire racks to cool.
In a saucepan, combine flour and salt. Gradually whisk in milk until smooth; cook and stir over medium-high heat until thick, 5-7 minutes. Remove from heat. Cover and refrigerate until completely cool. In a mixing bowl, cream shortening, sugar and vanilla. Add chilled milk mixture; beat for 7 minutes or until fluffy. Spread filling on half of the cookies; top with remaining cookies. Store in the refrigerator.