Whip heavy cream on high speed until stiff peaks form. Refrigerate until ready to use.
Mix peanut butter, sweetened condensed milk, and vanilla together with a hand mixer.
Fold together peanut butter mixture with whipped cream. Transfer to a sealable container and freeze until hardened, four hours or overnight.
Make the Chocolate Sauce
Place chocolate chips and oil in a microwaveable bowl. Heat 1 minute, or until chocolate begins to melt. Stir until melted and combined. Stir in nuts. Place in a jar and let come to room temperature.
Make the Cookies
Preheat oven to 350°. Spray a whoopie pie pan with cooking spray.
Cream butter, peanut butter, and sugars until well combined. Mix in egg and vanilla. Add salt and baking soda and mix well. Add flour and mix until just combined. Stir in nuts and chocolate chips.
Scoop large spoonfuls (about 2 tablespoons) into pan, press to fit. Bake 8-10 minutes, until edges are brown. Centers will still be a little gooey. Remove from oven and cool 10 minutes before removing from pan. Serve with a scoop of ice cream and a helping of chocolate sauce.
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