Preheat oven to 350 degrees F ( 175 degrees C ).

In a medium bowl, cream together the sugar and butter. Add the egg yolks, and vanilla; mix well. Stir in the milk. Sift together the flour, cocoa, baking powder, baking soda, and salt. Stir the flour mixture into the butter mixture. Drop by teaspoonfuls onto a cookie sheet and bake for 12 to 15 minutes. Remove from pan to cool on a wire rack.

To make the icing, combine the 2 egg whites, 1/2 cup of shortening, confectioners' sugar, and vanilla in a medium bowl and mix with an electric hand mixer. When the cookies are cool, make sandwiches out of 2 cookies with icing in between.