- Preheat the grill, setting the burners to high. Oil the grate.
- Lightly oil or butter the skewers. Thread 2 marshmallows onto each skewer. Grill for 1 minute, turning 2 or 3 times. Place the cookies on the grill, chocolate side up, for 10 seconds, or until the chocolate just begins to melt around the edges.
- Remove the marshmallows from the skewers. Place 1 marshmallow on the chocolate side of 4 cookies, then sandwich together with the other cookies, chocolate side down. Serve immediately.