In a mixing bowl, beat shortening and peanut butter with an electric mixer on medium to high speed for 30 seconds. Add granulated sugar, brown sugar, and baking soda; beat until combined. Beat in egg and milk. Beat in as much of the flour as you can with the mixer. Stir in remaining flour. Divide dough in half. Cover and chill in the refrigerator for 1 to 2 hours or until easy to handle.
On a lightly floured surface, roll half of the dough to an 1/8-inch thickness. Using a 2-inch scalloped round cuttter, cut dough into circles. Place cookies 1 inch apart on an ungreased cookie sheet.
Bake cookies in a 375 degree F oven about 8 minutes or until lightly browned. Transfer to a wire rack; cool. Repeat with remaining dough.
Spread the bottom surface of half of the cookies with Fudge Filling, using 1 tablespoon filling on each cookie. Place another cookie, top side up, on top of the filling. Store cookies, covered, in the refrigerator. Makes 25 sandwich cookies.
In a small saucepan, melt semisweet chocolate over low heat, stirring constantly. Remove from heat. Stir in sour cream and peanuts. Cool (mixture will stiffen as it cools).