Preheat oven to 350 and line two baking sheets with silicone liners or parchment paper.
Beat butter and sugars for several minutes, until light and fluffy. Add in vanilla, egg and molassses and mix until combined.
In a separate bowl, whisk flour, baking soda, salt , cinnamon and oats until thoroughly combined.
Slowly add the dry ingredients into the butter mixture and mix until just combined.
Using a 1 ½ tablespoon scoop, drop the dough onto the prepared baking sheets, leaving a couple inches between the cookies for spreading.
Bake in preheated oven for approximately 10 minutes, until the edges look done and the centers are still slightly soft. Cool completely on the baking sheets set over a cooling rack.
Once the cookies have cooled, top the bottom side of half of the cookies with as much filling as you'd like, then place another cookie, top side up, on top of the filling.