HEAT oven to 350°F. Place 8 cookies, flat-sides up, on foil-covered baking sheet. Top with chocolate, coconut and marshmallows.
BAKE 4 min. Cover each with second cookie, flat-side down, to make sandwich. Bake 2 to 4 min. or until cookies are warmed and chocolate and marshmallows are melted.
SERVE warm. Or, cover and refrigerate 5 to 10 min. or until filling is set.