To make the nut filling, add the milk, butter and sugar to a medium saucepan.
Bring the pan to a boil over medium heat and add the ground nuts.
Stir the nut mixture constantly and cook until it is thick, about 5 minutes.
Remove the pan from the heat and add the vanilla. Cool the nut filling and use it to fill cookies, pastries and breads.
While the nut filling is cooling, make the dough: Add the cream cheese and butter to the mixer bowl and beat with the flat beater on Speed 4 until smooth. Turn the machine to Stir and gradually add in the flour and salt, mixing until a dough forms.
Divide the dough into 8 disks and refrigerate them wrapped in plastic wrap for 1 hour. If the dough rests in the refrigerator overnight it can rest on the counter for 30 minutes before rolling to soften it up a bit.
Preheat the oven to 375 degrees.
Using a fine mesh strainer, sprinkle 1 tbsp (15 mL) or more of the confectioner’s (icing) sugar over the work surface.
Lay one of the disks of dough on the work surface and sprinkle the top with the confectioner’s sugar.
Roll the disk into a 10-inch (25 cm) round.
Spread 1/2-cup of the cooled nut filling thinly over the round.
Using a pastry wheel or a sharp knife, cut the round into 8 wedges. Beginning at the large end of each wedge, roll the cookie towards the small pointed end.
Lay the cookies as they are shaped 2-inches (5 cm) apart onto parchment lined sheet pans.
Bake the cookies in the preheated oven for 15 to 20 minutes or until they are golden brown.