Separate each cookie carefully, leaving cream filling on one side; set cookie halves without filling aside.
Make a turkey body by attaching a cinnamon candy (for turkey head) to each malted milk ball (turkey body) with a dab of chocolate frosting. Attach a turkey body to center of each cookie half with cream filling using a dab of chocolate frosting.
Spread chocolate frosting on the inside of each cookie half that does not have cream filling. For the turkey tail, arrange candy corn on chocolate-frosting cookies with wide end of candy along outer edge. Attach each turkey tail behind a turkey body using chocolate frosting. Store assembled turkeys in the refrigerator.