In a bowl whisk together the flour, baking soda and salt. Set aside.
Add the butter, sugar and egg yolks to the bowl of your mixer, and cream everything together until light and fluffy. Add vanilla extract, lemon zest, juice, milk and beat until well incorporated.
Add the flour mixture to the mixer, switch to the dough hook and mix until dough comes together. The dough should form into a ball and come clean from the side of the bowl. If it's too sticky, add a bit more flour, starting with a tbsp at a time.
If you're using the walnut mold shown in the pictures, you'll need to form the dough into small balls, about 1/2 an inch in diameter.
Spray your walnut mold with cooking spray, top and bottom, and preheat it over high heat, right on top of your stove. Place the dough balls into each walnut mold then press down to shape into walnut shells. Keep the mold pressed down and cook on top of the stove, turning it over to cook on both sides, about 3 minutes per side, until the cookies are set and lightly brown.
Remove the cookies from the mold, they should come right off, and trim the edges. I just broke them off.
Repeat by starting with step 5 again and cook remaining dough until all walnuts cookies are cooked.
To make the filling whisk all the filling ingredients together.
Fill about 1 tsp of the filling into a walnut shell, then press another cookie shell on top. Repeat with remaining cookies and filling.
When finished sprinkle cookies with icing sugar. Store in an airtight container in the fridge.