While the cookies are cooling, make the pastry cream filling. Using a heavy bottom sauce pan, combine the milk and ¼ cup of sugar, bring to a boil, and remove from heat.
In a medium size bowl, whisk the egg yolks, ¼ cup of sugar, and vanilla, until it's a light yellow color, and smooth. Add the cornstarch and whisk again until smooth.
Add ¼ cup of the warm milk mixture, and mix into the egg mixture, tempering the eggs so they don't cook and scramble. Whisk until completely blended, and then add another ¼ cup of the warm milk mixture to the egg mixture, and whisk until smooth again.
Slowly pour the egg mixture into the sauce pan where the milk mixture is, and, while continuously whisking add until all the egg mixture is blended with the milk mixture.
Place the Sauce pan over medium heat, and whisk continuously until the mixture thickens. Remove the mixture from the heat, and cool completely. Once cool, place in the refrigerator to chill - about 1 hour, stirring a couple of times to cool evenly. To prevent a skin from forming on top of the pastry cream place a piece of plastic wrap directly on the surface while refrigerating.