Filling:
In medium saucepan, combine the heavy cream, chocolate, peanut butter, butter, and salt. Cook over medium heat, stirring continuously, until the chocolate and butter are melted and the mixture is smooth. Remove from the heat and stir in the vanilla. Pour filling into a bowl and refrigerate for 30-45 minutes, or until thick and well-set. Meanwhile prepare the cookies.
Cookies:
Preheat oven to 350º. Lightly grease 3 cookie sheets or line with parchment paper. In a large mixing bowl, cream butter until smooth and fluffy. Add sugar and mix well. Add vanilla and egg and mix until fully incorporated. In a medium bowl, stir in the flour, cocoa, and salt. Add to butter mixture and mix until a dough forms. On a lightly floured work surface, roll the dough into 5/8 inch thick logs. Cut into ¼-inch sections and place, cut side down, ¾ inch apart on prepared cookies sheets. Bake one pan at a time for 5-8 minutes. Place cookies sheets on a rack to cool. Using a blunt knife, spread a ¼-inch thick layer of filling over the bottom of one cookie. Top with another cookie, right side up. Repeat with remaining cookies and filling. Roll each cookie in chopped nuts and refrigerate briefly to set the filling.
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