1. In a mixing bowl, cream shortening and brown sugar.
2. Add eggs, one at a time, beating well after each.
3. Beat in vanilla.
4. Combine flour, cinnamon, baking soda, salt and nutmeg; add to creamed mixture.
5. Stir in oats.
6. Drop by rounded teaspoonfuls 2 inches apart onto lightly greased baking sheets.
7. Bake at 350 degrees for 10-12 minutes or until golden brown.
8. Remove to wire racks to cool.
9. In a mixing bowl, cream shortening, sugar and marshmallow creme.
10. Add enough milk and mix until spreading consistency is achieved.
11. Spread filling on the bottom half of the cookies; top with remaining cookies.