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Pies:
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Preheat the oven to 350 degrees F. Lightly grease 2 cookie sheets.
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Sift the flour, baking soda, and cocoa together in a large bowl.
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In a separate bowl, combine the oil, vinegar, food coloring, and vanilla.
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Using an electric mixer, beat the sugar and eggs together in a large bowl until they turn pale and double in volume.
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Add the oil mixture and beat to combine.
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Add the flour mixture and buttermilk alternately in 5 small additions, starting and ending with the flour.
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Drop the batter by teaspoons onto the baking sheets, allowing 1-inch between drops, as the cookies will spread.
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You'll be making 48 cookies.
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Bake until the cookies are firm but not crisp, about 8 to 10 minutes.
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Transfer immediately to racks to cool.
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Filling:
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Put the flour into a medium saucepan and slowly add the milk, whisking until smooth.
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Set over medium heat and cook, stirring constantly with a whisk, until very thick, about 3 minutes.
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Remove the flour mixture from the heat and allow it to cool completely.
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Cream the sugar, butter, shortening, and vanilla in a large bowl with an electric mixer.
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Add the cooled flour mixture and whip until fluffy.
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Spread some filling onto 1 cookie and top it with another to make a sandwich.
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Repeat with the remaining cookies and filling.
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Cover the filled whoopee pies with plastic wrap and store in the refrigerator until ready to serve.