Cream shortening, peanut butter, and sugars together until light and fluffy, 1-2 minutes. Add in vanilla, and eggs one at a time. In a separate bowl whisk together flour, baking soda, and salt and add to dough. Mix to combine. Add milk until dough is soft enough to roll into balls without crumbling.
Roll dough into 1/2 inch (or a little larger) balls, roll in sugar, place on ungreased cookie sheet and use a fork to make the design on top.
Bake for 6-8 minutes, or until puffy. You do not want them to be golden brown or overcooked.
Beat peanut butter, butter, sugar, and vanilla together until smooth. Add milk until desired consistency is reached. When cookies are completely cooled, spread a layer of frosting on one side and sandwich together.