Combine all filling ingredients except coconut and pecans in 2-quart saucepan. Cook over low heat, stirring constantly, 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 ½ cups sugar and ¾ cup butter in 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 level tablespoon, 2 inches apart, onto parchment-lined cookie sheets. Bake 9-11 minutes or until top springs back lightly when touched. Cool completely.
Spread 1 slightly rounded tablespoonful filling on flat side of 1 cookie; top with second cookie, flat-side down. Press together gently. Repeat with remaining cookies.
