Make the Filling ~ in a medium saucepan, whisk together the condensed milk, egg yolks and butter. Cook over medium heat, whisking constantly until thick and bubbly, about 6 minutes. Remove from the heat and stir in vanilla, pecans and coconut. Transfer to a bowl and cool about 1 hour.
Making the Cookies ~ Preheat Oven to 375° and line two baking sheets with parchment paper. Whisk together the dry ingredients, flour, cocoa, baking soda and salt. Then in a large bowl beat the butter and brown sugar on medium speed for about 1 minute. Beat in eggs and vanilla. Reduce to low speed and beat in flour mixture until combined. Stir in the pecans and chocolate.
Baking the Cookies ~ Scoop the cookies (about 2 tb) each onto prepared baking sheets. Press to flatten cookie just a bit. Bake for 8 to 10 minutes. Cool on sheets, then transfer and completely cool on rack.
Assemble German Cookie Sandwiches ~ spoon filling onto the bottom cookie and top with another cookie creating a sandwich. Roll the edge in coconut if desired.
