HEAT oven to 375 degrees F. Coat baking sheets with no-stick cooking spray.
For Cookies: BEAT peanut butter, shortening, brown sugar, milk and vanilla in large bowl with electric mixer on medium speed until well blended. Add eggs. Beat just until blended.
COMBINE flour, baking soda and salt in medium bowl. Add to creamed mixture on low speed, mixing just until blended. Drop by level tablespoonfuls 2 inches apart onto prepared baking sheets.
BAKE 6 to 7 minutes or until set and just beginning to brown. Cool 2 minutes on baking sheet. Remove to wire rack to cool completely.
For Filling: MICROWAVE sweetened condensed milk and chocolate chips in medium microwave-safe bowl on HIGH for 1 1/2 minutes or until melted and smooth when stirred. Stir in vanilla. Let cool 15 minutes. Spread generously on flat side of half the cookies. Top with remaining cookies, flat side down, to form sandwich cookies.