In a large bowl, mix together the flour, melted butter, sugar, yeast, milk and egg. When the dough becomes to stiff to stir, turn out onto a floured surface and knead by hand for a few minutes. Set aside to rise for 45 minutes.
To make the filling, heat the molasses, brown sugar, remaining butter and cinnamon in a saucepan over medium heat. Stir to blend, and set aside.
Preheat a pizzelle iron. Knead the dough briefly, and divide the dough into 2 inch balls, or a size compatible with your pizzelle iron pattern. Press the balls in the preheated iron, and cook until the iron stops releasing steam, or until the waffles are golden brown.
Carefully remove with a knife or spatula, and split in half horizontally (like pocket bread) while they are still warm. Don't wait too long, otherwise they will break. Spread filling on the insides, and put the halves back together.