Make the cookies: In a bowl, cream together butter, sugar and brown sugar for 1 to 2 minutes until light and very fluffy. Add vanilla, egg and egg yolk, and mix well. In a separate bowl, whisk together flour, pudding mix, baking soda and salt.
Add dry ingredients to wet ingredients and mix until incorporated and dough comes together. Stir in chocolate chips. Cover very tightly and chill for at least 1 hour.
Preheat oven to 350 degrees F. Roll dough into balls (about 1 1/2 inch) and space 2 to 3 inches apart on a baking sheet. Bake for 10 to 12 minutes until lightly browned on top. Allow to cool 5 to 10 minutes on baking sheet before transferring to a cooling rack to cool completely.
To grill the bacon: Heat a grill to medium-high heat. Thread bacon onto skewers in an S-shape. Place skewers directly on grill and cook 8 to 12 minutes, rotating as needed to ensure even cooking. Transfer to a plate, let cool and then remove bacon from skewers. Set aside.
Meanwhile, roast the marshmallows: Roast marshmallows directly over the grill using skewers or roasting sticks until cooked to your preference.
Assemble s’mores: Flip one cookie over so it’s upside down. Place a square of chocolate on top of the upside down cookie, then top with grilled marshmallow, bacon and a right side-up second cookie. Serve immediately.