Preheat oven to 325. In a mixing bowl, cream butter, peanut butter and sugars; add egg and vanilla.
In medium bowl stir together flour, baking soda and salt; add to creamed mixture. Mix well. Chill dough for an hour.
Shape dough into 1 inch balls. Place into lightly greased mini-muffin tins. Bake for 14-16 minutes or until lightly browned.
Remove from oven and immediately make "wells" in the center of each by lightly pressing with a melon baller. Cook in pans for 5 minutes, then carefully remove to wire racks.
Make fudge filling.
In double broiler, over simmering water, melt the semi-sweet and milk chocolate chips. Once chips are melted stir in milk and vanilla; mix well. Using a small pitcher or pastry bag to fill the cookie shells (since I've made these so much, I use a tablespoon ) Let the filling set up and then store cookies in airtight container.
NOTE: should you have any leftover filling it can be stored in the refrigerator and served warm over ice cream.