Preheat the oven to 350°F (180°C). Have a nonstick or parchment-lined baking sheet at the ready.
Combine the butter and flour in a large mixing bowl and rub them together with your fingertips until the mixture is crumbly. Stir in the sweetened condensed milk, then mix together with your hands to form a soft dough, adding 1 extra tablespoon of flour at a time if the dough is still sticky.
Tip the dough onto a floured surface then roll it out to about 1/4-inch (5-mm) thick. Using a 2 1/2-inch (8-cm) cookie cutter, cut out circles in the dough, then re-roll the trimmings and repeat to use all of the dough. You should have about 16 cookies.
Using the base of a piping nozzle or small bottle cap, cut out a hole in the middle of half the circles. Place all the circles on the prepared baking sheet, spacing them about 1-inch (2.5cm) apart.
Bake until lightly golden, 10 to 15 minutes. Let the cookies cool completely on the baking sheet.
Fill the cookies
Once cool, place about 1 teaspoon of your filling in the center of the cookie bases (the ones without the holes), then place the cookie lids on the top. The filling will help secure the lids in place.
Store in an airtight container at room temperature for up to 4 days.