Preheat oven to 350. Cream butter and sugar together. Add vanilla, milk and eggs and mix. Beat in baking soda. Add cocoa and mix well. Add flour gradually, using mixer. You may need to add last bit of flour stirring by hand, as the batter is very stiff. Stir in pecans.
Form into 1 1/4 inch balls (I used my 1" cookie scoop and it worked perfect). Put onto ungreased cookie sheet and flatten just slightly using the tips of your fingers.
Bake 9 minutes. Let sit for about 1 minute then move to cooling rack to cool completely.
Once cookies are finished, make filling (don't make filling in advance; it's easiest to spread when warm). In medium sauce pan over medium heat, melt butter. Add in brown sugar and corn syrup, stirring constantly until thick and bubbly.
Remove from heat. Stir in vanilla. Add toated coconut and pecans and stir until well combined.
Spread filling by tablespoonfuls onto the underside of one cookie, and top with another cookie to make sandwich.
**TO TOAST COCONUT**
Place coconut on a baking sheet and place in 350 oven for 6-8 minutes, stirring occasionally, until browned.