Preheat the oven to 350°F (175°C). Line baking sheets with parchment paper.
In a large bowl, cream together the butter and sugar until light and fluffy.
Mix in the vanilla extract and egg until well combined.
Gradually add flour, baking powder, and salt, mixing until a dough forms.
Roll out the dough on a lightly floured surface, about 1/4 inch thick.
Cut out cookies using a pumpkin-shaped cookie cutter. Use a knife to carve Jack-O'-Lantern faces into half of the cookies.
Place cookies on prepared baking sheets and bake for 8-10 minutes or until edges are lightly golden. Cool completely.
To make the filling, beat the cream cheese until smooth, then gradually add powdered sugar until combined.
Mix in a few drops of orange food coloring and milk until desired consistency and color are reached.
Spread the filling on the flat side of each non-carved cookie. Top with a carved cookie to create a sandwich.