First, extinguish the baking soda in the yoghurt. Once effervescent, add the rest of the products to make a sticky dough.
Using 2 teaspoons, scoop from the dough and shape small balls, then place them in a buttered form. Wait for the walnut cookies to cool and fill them with cream. Sprinkle with powdered sugar.
For the cream:
Melt the sugar in a pot to a caramel, being careful not to burn it because it'll taste bitter. Set aside 1 2/3 cups (400 ml) of the milk and beat the flour in it with a whisk.
Add the remaining milk to the caramel and return to the stove. Wait for it to come to a boil and add the flour.
Once thickened, turn off the stove and add the vanilla and butter. Stir well.
Pour it into a porcelain bowl, cover tightly with plastic wrap and wait for it to cool (this is done to prevent the cream from catching a crust).