Using an electric whisk, beat the butter and sugar together until pale and softened. Add the vanilla, egg yolks and flour and continue to whisk together to make a soft dough. Wrap in clingfilm for 1–2 hours until firm.
Heat the oven to 180°C/160°F/Gas 4. On a lightly floured surface, roll out half the dough to the thickness of a pound coin. Using a 7.5cm cutter, stamp out 12 circles. Using a small cutter (try a 2cm circle or a heart or star shape), stamp out the centre of each biscuit. Place on a large, lined baking sheet.
Add any trimmings to the rest of the dough then roll out and use to make a further 12 rounds. Place on a second large, lined baking sheet. Bake the biscuits for 10–12 minutes until pale golden. Remove from the oven and leave to cool and firm up on the baking sheets.
Place a large teaspoonful of jam in the centre of the base biscuits and spread out a little. Press on the top biscuits and dust with a little more icing sugar, to serve.