In a large mixing bowl, cream butter and sugar until light and fluffy. Beat in the egg yolk and vanilla. Gradually add flour. Shape into two 14-in. rolls; reshape each roll into a 14-in. x 1-1/8-in. x 1-1/8-in. block. Wrap each in plastic wrap. Refrigerate overnight.
Unwrap and cut into 1/4-in. slices. Place 2 in. apart on ungreased baking sheets. Sprinkle half of the cookies with nuts, gently pressing into dough. Bake at 400° for 8-10 minutes or until golden brown around the edges. Remove to wire racks to cool.
In a small mixing bowl, cream butter, lemon juice and orange peel. Gradually add confectioners' sugar. Tint yellow if desired. Spread about 1 teaspoon on bottom of the plain cookies; place nut topped cookies over filling. Yield: about 4-1/2 dozen.