Step #1 Sift flour with baking powder into a bowl; make a well in the middle of it.
Step #2 In another bowl, beat egg yolks with sugar & vanilla, then pour this into the well in the flour.
Step #3 Add the melted butter.
Step #4 Slowly incorporate the dry into the wet.
Step #5 Knead mixture into soft dough, slowly adding the milk as you knead.
Step #6 Let dough rest for 10 mins.
Step #7 Separate dough into 4 parts (for ease of handling) & roll each out a 1/4" thick; cut into rounds, & place carefully on a buttered cookie sheet.
Step #8 Beat egg whites lightly, brush over cookies; press 1/2 an almond into the center 1/2 of the cookies.
Step #9 Bake in preheated 300°F oven for about 15 mins.
Step #10 Remove from oven & cool.
Step #11 Spoon some marmalade (or other filling) onto the plain half of the cookies & then top them with the ones that have the almonds.