1. Preheat oven to 350°F. Line 2 baking sheets with parchment paper. Cream together sugar and butter with whisk until smooth and sugar begins to dissolve. Whisk in egg, milk, and vanilla extract. Add melted chocolate and cocoa, and mix until smooth. Stir in flour with wooden spoon or rubber spatula. Do not overmix.
2. Transfer batter to resealable plastic bag or pastry bag fitted with small round tip. Trim ½-inch tip from corner of resealable plastic bag, if using, with scissors. Squeeze 40 1-inch dollops of batter onto baking sheet 2 inches apart. Bake 12 minutes, or until tops look dry and smooth. Cool 2 minutes on baking sheet; transfer to wire rack to cool completely.
3. To assemble: Spoon ½ tsp. marshmallow cream on bottoms of 20 cookies. Top with remaining cookies.