1. Cookies: Preheat oven to 350 degrees. Spread pecans and oats evenly on separate rimmed baking sheets; toast until fragrant and golden brown, about 7 minutes for pecans, 15 minutes for oats. Let cool completely, then finely chop pecans.

2. In a medium bowl, whisk together flour, baking soda, and salt. With a mixer on medium speed, beat butter with brown sugar until fluffy, about 3 minutes. Beat in eggs, molasses, and vanilla until combined. Reduce speed to low, and beat in flour mixture just until combined. Stir in oats and pecans. Cover bowl with plastic wrap and refrigerate until firm, at least 1 hour and up to overnight.

3. Roll rounded teaspoons of dough into balls; place 2 inches apart on parchment-lined baking sheets.

4. Bake, rotating sheets once, until golden brown, about 10 minutes. Transfer cookies to a wire rack to cool completely. Cookies can be stored in an airtight container up to 1 week before filling.

5. Filling: Combine granulated sugar and 1/4 cup water in a small saucepan over medium-high heat. Bring mixture to a boil, stirring until sugar is dissolved; stop stirring and cook until dark amber in color, swirling pan to color evenly, about 7 minutes. Wash down sides of pan with a pastry brush dipped in water to prevent crystallization as mixture boils. Remove from heat and gradually whisk in cream (it will spatter) and butter until combined. Transfer to a bowl; let cool completely.

6. Spoon about 3/4 teaspoon filling in center of flat side of half of cookies (or pipe using a resealable plastic bag with a corner snipped off); top with remaining cookies, flat-sides down.