1. To make cookies: Preheat oven to 350°. In a medium bowl, combine flour and next 3 ingredients (through salt); stir well with whisk until there are no lumps. In a separate bowl, combine applesauce and next 6 ingredients (through vanilla); stir well with whisk. Fold dry ingredients into wet ingredients.
2. Using a tablespoon measure, spoon 32 cookies about 2 inches apart on 2 parchment paper-lined baking sheets. Bake, rotating pans halfway through, until the cookies are puffed and set (8-10 minutes). Let sit on hot pans 2 minutes; cool completely on wire rack.
3. To make filling: Combine marshmallow crème and butter in a medium bowl. Beat with a hand mixer at medium-high speed; gradually stir in powdered sugar, then vanilla. Beat at medium-high speed until light and fluffy, about 3 minutes. (Note: Makes 3/4 cup filling.)
4. To assemble pies: Sandwich cooled cookies with 3/4 tablespoon filling.