Cream the butter and sugar together until pale and fluffy. Add the egg yolk, then sift in the flour and cocoa powder. Mix together until a firm dough is formed. Knead lightly on a floured surface, wrap and chill for 20 minutes to firm up.
Roll out one-quarter of the dough on a sheet of nonstick baking paper and cut out 9 circles, using a 5 cm (2 inch) cutter. Put a square of chocolate on top of each circle of dough. Roll out another quarter of the remaining dough. Cut out 9 circles again, then use these to sandwich the chocolate squares, pressing the edges well to seal. Transfer the paper and biscuits to a baking sheet. Repeat with the remaining dough.
Bake in a preheated oven, 190°C (375°F), Gas Mark 5, for 10 minutes. Cool for 10 minutes, before transferring to a wire rack.