Heat oven to 350°F. Shape cookie dough into 32 balls. On ungreased cookie sheets, place balls 3 inches apart. Bake 12 to 15 minutes or until light golden brown. Cool completely.
In bowl, mix whipped topping and marshmallows. Spread mixture about 1/2 inch thick on bottom of 1 cookie. Top with second cookie, bottom side down; press together gently. Roll outer edge of filling in sprinkles that have been placed in shallow bowl. Repeat to use remaining cookies.
Place on large cookie sheet. Freeze until firm, about 4 hours. Wrap individually in plastic wrap. Store in freezer.