1. Prepare Cookies: Preheat oven to 350°. Beat first 3 ingredients at medium speed with a heavy-duty electric stand mixer until light and fluffy. Add egg and egg yolk; beat just until blended.
2. Sift together flour and next 2 ingredients; add to butter mixture alternately with buttermilk, beginning and ending with flour mixture. Beat at low speed just until blended after each addition. Drop batter by level spoonfuls onto parchment paper-lined baking sheets, using a medium-size cookie scoop (about 1 1/2 inches).
3. Bake at 350° for 10 minutes. Cool on baking sheets 5 minutes; cool on wire racks completely.
4. Prepare Filling: Beat cream cheese and next 2 ingredients at medium speed until smooth. Add powdered sugar, 1/2 cup at a time, beating at low speed just until blended after each addition.
5. Assemble: Turn half of cooled cookies over, flat sides up. Dollop each with about 2 Tbsp. filling, and sprinkle with pecans. Top with remaining cookies; press gently to spread filling to edges. Serve immediately. Or place pies on a parchment paper-lined baking sheet, cover with plastic wrap, and freeze 8 to 24 hours or until firm. Store in freezer up to 3 weeks. Let stand 1 hour before serving.