To make the cookies: whisk together the flour, cocoa, baking soda and salt. In a stand mixer with paddle, cream the butter until light and fluffy and add the vanilla and mix again. Now add the egg yolk and milk and mix until combined. Add the dry ingredients, scraping down the bowl, and mix until just combined.
Shape dough into a disk and wrap in plastic wrap. Place in the fridge for 1 hour up to overnight. When ready to use, roll out the dough to 1/4 inch thickness and cut out circles with a 2-3 inch cutter. Place on a parchment lined baking sheet and freeze for 10 minutes while you preheat the oven to 350. Bake for about 8-10 minutes until fully cooked but not browned. Cool completely.
For the ganache: Bring the cream to a simmer and pour over chopped up chocolate. Allow to sit for a few minutes then stir slowly until smooth. If chocolate isn't fully melted, you can microwave in 20 second intervals until smooth. Add the peppermint extract and then put into a piping bag and refrigerate until thickened enough to pipe but not too set.
Pipe a circle of ganache on the bottom cookie and top with another cookie. Fill the cookies not quite to the edge and gently press them so they are fully filled. Place on a baking sheet and freeze for 30 minutes.
Take the coating chocolate and chop it up. Microwave in 20 second intervals, stirring after each, until smooth. Using a fork, dip the chilled sandwich cookies into the chocolate, allowing the excess to drip off, then place on a clean baking sheet lined with parchment. You will have more chocolate than you need. You can pour the rest onto another sheet of parchment until it sets up, and then eat it :) Top cookies with sprinkles immediately after dipping and allow the chocolate to fully set up.