Pre-heat oven to 350° (180° celsius). Line cookie sheets with parchment paper.
In a medium bowl whisk together, the flour, zest and salt, set aside.
In a large bowl beat at medium speed the butter and sugar until light and fluffy, approximately 2 minutes, then add the egg yolks and vanilla, beat until just combined. Stir in the flour mixture with a wooden spoon or mix on low speed just until combined. Move to a flat surface and form into a compact smooth dough. At this point if your house is warm, then wrap the dough in plastic and refrigerate for 30-60 minutes.
Remove pieces of dough and roll into (approximate) 1 inch (2cm) balls.
Place the egg whites in a small bowl mix with a fork, place the finely chopped almonds in another bowl. First roll balls in egg whites and then in the almonds, place them on the prepared cookie sheets about one inch apart. Gently make an indentation with your thumb, the bottom of a wooden spoon or the round of a ¼ teaspoon in every ball.
Bake for approximately 15 minutes, at the halfway point check to see if the centres have puffed up, if yes, then using the end of a wooden spoon or round of a ¼ teaspoon gently indent again. Remove from oven when done and indent again if needed.
Remove to cool on a wire rack. When cool fill withItalian Pastry Cream or your favourite filling. Enjoy!
Notes
To help keep the cookies from spreading be sure to use a higher protein flour, 11-12% works fine, you can also refrigerate the cookies while the oven is pre-heating, about 15-20 minutes is good.If you don’t like almonds then you could substitute with finely chopped walnuts, hazelnuts or even Pecans. Or just eliminate them entirely. I have heard of using chopped pretzels, coconut or even wheat germ (as a couple of readers suggested).You can make and form the cookies and keep them refrigerated for up to 3 days. Then all you have to do is bake and fill them.The cookies should be stored in an airtight container. If they have been filled with cream then they must be refrigerated. Unfilled they can be kept at room temperature or the fridge for 5-6 days.The cookies are best frozen without the filling. Place them in a freezer safe container or bag and the cookies will keep for up to three months. Fill them just before serving.