Dissolve yeast in a little of the warm milk. Mix butter and flour like cornmeal. Beat egg yolks, vanilla, milk, and egg whites. Mix well and add dissolved yeast. Add all to the flour and butter mixture. Refrigerate overnight.
FILLING:
Cut dough in 2-inch squares. Fill with 1/2 teaspoon of filling. (When rolling dough, use powdered sugar instead of flour.) Fold opposite corners of dough to seal each cookie. Bake at 350 degrees for 15-20, or until golden brown.
YIELD: 5 dozen