1Combine all filling ingredients except coconut and pecans in 2-quart saucepan. Cook over medium heat, stirring occasionally, 8-10 minutes or until mixture comes to a boil and thickens. Stir in coconut and pecans. Cover; refrigerate at least 1 hour.
Heat oven to 350°F. Combine 1 1/2 cups sugar and 3/4 cup butter in large bowl. Beat at medium speed, scraping bowl often, until creamy. Add milk, eggs and vanilla; continue beating until well mixed. Add flour, cocoa and baking soda. Beat at low speed until well mixed.
Drop dough by rounded teaspoonfuls, 2 inches apart, onto ungreased cookie sheets. Bake 9-11 minutes or until top springs back lightly when touched. Cool completely.
Spread 1 level tablespoonful filling on flat-side of 1 cookie; top with second cookie, flat-side down. Squeeze together gently. Repeat with remaining cookies.