Here is the recipe I use.

Whoopie Pies
Makes about 60 cookies for 30 sandwiches

2 boxes devils food cake mix
2/3 cup oil
4 eggs
1/2 cup vegetable shortening (Crisco)
4 tbsp water
1 tbsp clear vanilla
1 lb powdered sugar

Preheat oven to 350 F.

Combine cake mix, oil, and eggs. Mix well (I use a Kitchen Aid Mixer with the paddle stirrer).

Roll out cookies in walnut sized ball about 3 inches apart on a cookie sheet (I recommend airbake). Bake in oven for 10 minutes or until a dent made in the top of a cookie remains. Cool on the sheet for approximately 5 minutes before removing to a rack.

While the cookies are cooling prepare filling. Combine shortening, water, and vanilla in a mixing bowl. Mix at low to medium speed until the liquids have been incorporated into the shortening. Slowly add the sugar while beating at low speed. Once the sugar has been moistened beat at high speed for 10 minutes.

Spread filling on flat side of a cookie and top with another cookie to form a sandwich.