Preheat oven to 425 degrees F. Combine first 4 ingredients and set aside. In separate bowl combine sugar, shortening and egg white. Beat until fluffy, about 2 minutes with a mixer or longer by hand. Stir in the flour mixture and then add the milk until blended.
Drop by spoonfuls onto a greased cookie sheet. Bake for 5 to 7 minutes, until the top springs back when touched lightly. Cool and then make cookie sandwiches with the marshmallow cream as the filling.