In a small bowl lightly beat the egg yolks, whole egg, zest and vanilla.
In a large bowl add the flour, make a well in the middle and add the butter, sugar, salt and egg mixture. With a fork mix until almost combined, then move to a lightly floured flat surface. Knead gently to combine (don't over knead). Dough will be soft. Wrap in plastic and refrigerate one hour.
Pre-heat oven to 400 F (200 C). Line 2 baking sheets with parchment paper.
Remove dough from the fridge and break off small pieces of dough, soften the dough slightly between your finger and roll into approximately 4-6 inches, to form into an S shape. Place on prepared cookie sheets and bake for 10 minutes, reduce heat to 320F (150C) and bake for another 10-15 minutes or until lightly golden. Let cool 5-10 minutes on the baking sheet then move to a wire rack to cool completely. Enjoy.
Notes
If you wish you can substitute vanilla extract with almond extract or anise extract or even lemon extract to give it a more lemony flavor. Italians also like to dip half of the cookie in melted chocolate, add some sprinkles and serve them as a Christmas Cookie.The cookies should be stored in an airtight container at room temperature. They will keep for up to 3-5 days. Storing in the refrigerator could dry them out.The cookies should be completely cooled then placed in a freezer safe container or bag. They will keep for up to 3 months in the freezer.