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1
Preheat your oven to 335 F. Cream the butter & sugar until light and fluffy, 5 minutes or so.
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2
Add the egg yolks one at a time, mixing well after each yolk.
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3
Add the vanilla & lemon rind.
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4
Sift together the dry ingredients, and add slowly, alternating with 2 teaspoons of cognac (optional). You should have a slightly soft, smooth (not sticky!), consistent dough. You can substitute milk for the cognac, or add additional milk, if the dough is too dry (the cornstarch tends to the dry side). Be careful not to over-handle the dough, it dries out quickly.
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5
Roll out your dough on a lightly floured surface, and cut out circles. I usually roll out my dough in sections - it's important to minimize the handling of the dough so it doesn't dry out. The thickness is your choice - don't make them so thin the cookies crack when you spread them with dulce, but remember in the end you're making a sandwich. I usually roll mine out to an 1/8+ of an inch, but don't actually measure them out! The size of the cookie is to your taste as well. I prefer mine smallish, the size of a champagne flute. Re-form and re-roll out the scraps until you find the dough is tough and brittle, at which point cut your losses and toss (or eat?!) the rest.
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6
Bake the cookies on a lightly buttered cookie sheet for 6 - 8 minutes, until the cookies are golden on the bottom but still creamy white on top. The first batch always takes a bit longer! They won't look completely cooked after 8 minutes, but take them out if the bottoms are golden - they will harden as they cool.
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7
Once your cookies are completely cool, put together your alfajores. Spread the golden bottom of one cookie with dulce de leche, add a second cookie, golden side towards the dulce, to form a sandwich. Be gentle! The cookies tend to crack under pressure. Smooth a little dulce around the perimeter, and roll the edge of the cookie sandwich in coconut.
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8
NB: A note about dulce de leche. The best dulce de leche is made from scratch - milk, sugar and patience. A semi-homemade alternative is to cook condensed milk in a double boiler for three hours or so, making sure the water doesn't fully evaporate, and stirring every so often, until the dulce is a rich caramel color but is still thin enough to spread easily. Or, if you have a pressure cooker, look up the technique for that - will save you time and hours standing at the stove. If you're using store bought dulce, steer clear of nestle, you're better off using condensed milk, flavor wise! I've had luck tracking down 'Conaprole' & 'Manfrey' in the US.
