In a large mixing bowl add the flour and butter, mix with a fork until crumbly, then add the egg, sugar, salt and vanilla. Again mix with the fork until the mixture almost comes together.
Move to a lightly floured flat surface. Knead the dough until it comes together and is smooth, form it into a ball. Wrap the dough in plastic wrap and refrigerate for 30 minutes.
Remove the dough from the fridge and roll it into a rectangle (7x11 inches/ 18x28cm) on a lightly floured large sheet of parchment paper. Lightly flour the rolling pin also.
Spread the Nutella or your favourite hazelnut cream filling evenly on the dough. Leave a 1/2 inch boarder around the edges.
Roll up from the long side (as tightly as you can) using the parchment to help with the rolling to form a dough log. Wrap with the parchment paper and chill for another 30 minutes.
15 minutes before removing from the fridge, pre-heat the oven to 350F (180C).
Remove the dough log from the fridge and cut into ½ inch thick slices with a sharp knife, place the slices on a parchment paper lined baking sheet, you can gently reform the cookies into circles with your fingers.
Bake for approximately 20 minutes or until golden. Let the cookies cool for 5 minutes on the baking sheet then move to a wire rack to cool completely.
Notes
The dough can be made with a stand mixer using the paddle attachment. Do not over mix, combine the dough until almost combined then move to a flat surface to form in to a dough ball.Slicing the pinwheels thinner may need to bake less time. Slicing the pinwheels thicker may need to bake in more time. Keep an eye on your cookies in the last 5 minutes or so to ensure proper baking time.If you want your cookies to bake evenly at the same time, try to cut them as evenly as possible. When the cookies are still rolled up, trim the ends so that you get nice and perfect cookies for each slice.Wipe your knife blade after each slice to make sure you can see the pinwheel pattern nicely. Although the swirl pattern will show more after baking.The cookies should be stored in an airtight container, and can keep for up to 2 days at room temperature. They will keep for up to 5-6 days in the fridge.Place the baked completely cooled cookies in a freezer bag or container. They will keep for up to 3 months in the freezer.If you prefer you can slice the dough, and place on a parchment paper lined cookie sheet, then place in the freezer until firm. Then move to a freezer container, with parchment paper between the layers to keep them from sticking. The unbaked cookies will keep for up to 3 months in the freezer, they can be baked from frozen, they may take a couple of minutes extra to bake.