Preheat your oven to 350°F (175°C) and line baking trays with parchment paper. In a large bowl, cream together the softened butter and powdered sugar until light and fluffy. Add the vanilla extract and mix until combined.

In a separate bowl, whisk together the flour, cocoa powder, coconut, and salt. Gradually add the dry ingredients to the butter mixture, mixing until a soft dough forms. The dough should be smooth and easy to handle without being sticky.

Transfer the dough to a piping bag fitted with a star nozzle or shape small portions by hand into oval biscuits. Arrange them on the prepared baking trays, leaving a little space between each biscuit.

Try to keep the biscuits uniform in size so they bake evenly and pair together neatly when assembled later.

Bake for approximately 10 to 12 minutes until the biscuits are set and slightly firm around the edges. They will continue to crisp as they cool.

Remove the trays from the oven and allow the biscuits to rest for a few minutes before transferring them to a wire rack to cool completely.

While the biscuits cool, prepare the filling. Beat together the powdered sugar, cocoa powder, butter, milk, and vanilla extract until smooth and creamy.

The filling should be thick enough to hold its shape but soft enough to spread easily between the biscuits.

Spread or pipe a small amount of chocolate filling onto the flat side of one biscuit. Place a second biscuit on top and gently press together to create a sandwich cookie.

Repeat with the remaining biscuits until all the cookies have been assembled.

Allow the assembled Romany Creams to sit for about 15 minutes so the filling can firm slightly.

Serve immediately or store in an airtight container. The flavors become even better after a few hours as the biscuits and filling settle together.