You don't have to if you don't want to! The cookies alone are a really delicious soft, chewy, chocolate sugar cookie. An alternative would be to get a giant marshmallow, and place it on one half of the cookie, then either blow torch it or quickly place under the broiler. Then sandwich with a second cookie. This will give a different effect as the marshmallow won't be as solid, and it may be a little messy, but it will be so good! You could also fill these with Marshmallow Creme - ALDI sells a great one!