To make the cakes: Prepare mix as directed on package except using only 3/4 cup of water. Drop batter onto greased cookie sheet (or use parchment paper to line pan) in 2 1/2 to 3 inch circles. Bake until toothpick inserted in center comes out clean. Let cool.
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To make the filling: In a saucepan, combine milk and flour and cook, stirring constantly until it forms a thick paste. Let cool.
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In a medium bowl, beat sugar and shortening until fluffy. Add vanilla. Add cooled flour mixture and beat until double in volume.
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Turn the little cakes over on their backs. Spoon a dollop of filling onto half of the little cakes. Place the other half of the cakes on top of the filling to form sandwiches.
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