In a bowl whisk together flour, baking soda, cinnamon, and salt - set aside
In a mixing bowl beat the butter and sugars until fluffy. Add in the eggs and vanilla then mix in the dry mixture.
Stir in the oats until well combined. Chill the dough in the fridge for 30 minutes.
Preheat the oven to 350 and line baking sheets with parchment paper. Scoop out balls of chilled dough and place them on the lined sheets.
Bake in the oven for 13-15 minutes.
Cool on the pan for 5-10 minutes before moving to a wire rack to cool completely.
To make the filling beat the butter for about 5 minutes then add in the powdered sugar a little at a time. Mix in the vanilla and milk and continue to beat until smooth and creamy.
Place the filling in a piping bag with a medium size cut tip. Pipe the filling onto the bottom side of one cookie then place another cookie on top, bottom side down. Repeat the process with the remaining cookies.