Mix Shortening, Sugar, Egg Yolk and Vanilla together. Add Salt and Flour.
Form into balls, the size of a walnut or even smaller. Roll each ball into beaten Egg White, then into ground walnuts.
Place on ungreased cookie sheets and bake 5 minutes @ 350°, take balls out and make a thumbprint on top of each cookie and bake again for another 8 minutes. Fill with icing (see below).
Buttercream Frosting Directions
In a small mixer bowl, cream Butter. Add Cocoa and Sugar alternately with Milk; beat to spreading consistency (additional milk may be needed). Blend in Vanilla.