Sift the flour and make a well. In it, pour in the wine and melted lard. Knead a dough that doesn't stick.
Leave it in the fridge for an hour, then roll it out and cut out triangles. Put a Turkish delight piece and walnut in each. Roll them up.
Bake at 392°F (200 °C) until reddened. While still warm, roll them in powdered sugar mixed with the vanilla.