Blend the hazelnuts with the sugar. Add the flour and the oil – a little of one then a little of the other. If you use oil you need to add half a glass of water. When the pastry is compact and doesn't crumble, let it rest for a few minutes. Each little ball should be more or less the size of a hazelnut. Bake at 180°C for 15 minutes.
While the biscuits are cooling, prepare the cream filling. Sieve the flour, cocoa and sugar together and then add the milk. Put it on the heat and leave it to thicken up. Once the biscuits are cool, spread the cream filling on the flat side of each one and press the two halves of the biscuit together.