For the cookies: Preheat the oven to 350 degrees F. Line a baking sheet with parchment paper.
Whisk together the graham crumbs, flour, baking powder, baking soda and salt in a bowl. In another large bowl, beat the sugar and butter with an electric mixer until fluffy, about 3 minutes. Add the vanilla and egg and beat to combine. Add the graham mixture and beat to incorporate. Knead with your hands to bring the dough together into a ball.
Flatten the dough into a disk, place it on a piece of parchment paper and roll with a rolling pin into an 11-inch circle, about 1/4 inch thick. Use a 3-inch round cookie cutter to cut out 8 cookies. Reroll the scraps to 1/4 inch and cut out 2 more cookies. Transfer the cookies to the prepared baking sheet. Discard the dough scraps.
Bake the cookies until the undersides are golden brown and the tops are just set, 9 to 10 minutes. Cool completely on a rack.
Put about 2 tablespoons of marshmallow creme in the center of a cookie (do not spread) and top with a second cookie to make a sandwich. The creme will ooze to fill the sandwich as it sits. Repeat with the remaining cookies, then freeze until the creme is firm, about 20 minutes.
For the glaze: Line a baking sheet with parchment paper and place a cooling rack on top. Line a second baking sheet with parchment paper and lightly oil the paper.
Put the chocolate candy coating in a heatsafe bowl (the smallest, deepest bowl it can fit in without surpassing the rim). Microwave in 30-second intervals, stirring after each interval, until melted and smooth, about 2 minutes.
Submerge a cookie sandwich in the melted chocolate and pull it out using 2 forks, letting the excess drip off. Transfer to the prepared cooling rack and sprinkle with sanding sugar. Transfer to the oiled parchment on the second baking sheet to set. Repeat with the remaining cookie sandwiches.