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.