Preheat oven to 325 degrees. Line a large baking sheet with parchment paper. Set aside.
In a medium bowl, whisk together flour, cocoa powder, salt, baking soda, cinnamon and cayenne. Set aside.
In the bowl of a stand mixer fitted with a paddle attachment, cream together butter and sugar on medium speed. Add eggs, one at a time and vanilla and mix until well blended.
Reduce speed to low and gradually add flour mixture.
Using a small ice cream scoop (1 1/2 inch) drop dough 2 inches apart onto prepared sheet.Sprinkle tops with additional granulated sugar.
Bake for 13-15 minutes or until surface shows some cracking. Cookies should be on the soft side.
Remove from oven and cool on wire racks.
Assembling cookies: Spread a heaping tablespoon of dulce de leche filling on the bottom of one cookie and top with another cookie, sandwiching together.