Combine first 4 ingredients in a small heavy saucepan, and bring to a boil over medium-low heat, stirring frequently with a whisk. Cook 2 minutes or until thick, stirring frequently. Remove from heat; stir in margarine and vanilla extract. Cover and chill thoroughly.
Spread 2 tablespoons yogurt onto each of 10 cookies; top with about 1 teaspoon toffee syrup and remaining cookies, pressing gently. Freeze at least 1 hour.