In a bowl, beat the egg with the powdered sugar, add the softened butter, yoghurt, pinch of salt and vanilla. Add the sifted flour and knead a soft dough.
Scoop from the dough and make balls the size of a hazelnut. Use a walnut mold maker, heat it up beforehand. Bake the walnuts on both sides by flipping the mold maker over for the cookies to obtain a light brown color.
Make the cream by heating 1/2 the milk and crystal sugar. To it add the flour, dissolved in the rest of the milk. Stir slowly until thickened.
Separately, beat the softened butter and powdered sugar. Add 1 vanilla and the rum essence for aroma. To the butter cream, add the cooled milk cream a little at a time, while stirring nonstop.
Fill the baked doughy walnut shells with this mixture and stick them 2 at a time to form whole walnuts. Leave them to sit overnight to soften.