Pulse the sandwich cookies without the filling in a food processor. Grate until it's even small crumbs. Set aside.
Using stand mixer fitted with a paddle, beat butter until light. Add powdered sugar 1 cup at a time, scraping down bowl as needed.
Add heavy cream, milk, vanilla extract, and salt. Mix until well combined.
Remove bowl from mixer. Give stir by hand using rubber spatula, making sure to scrape any unmixed portion on bottom.
Add in finely crushed OREO cookies. Fold in using rubber spatula.
Prepare piping bag with tip of your choice; I used Ateco 271 Russian Ball Tip. Whatever you plan to use, make sure it's large because your frosting will be super thick.