Place 2 candy bars on each of 4 cookies; place on grill rack. Grill, uncovered, over medium-hot heat for 1 to 1-1/2 minutes or until bottoms of cookies are browned.
Meanwhile, using a long-handled fork, toast marshmallows 6 in. from the heat until golden brown, turning occasionally. Remove marshmallows from fork and place over candy bars; top with remaining cookies. Serve immediately.