Measure the sifted flour, sugar, salt and butter into bowl. Blend butter into dry ingedients by pressing against bottom and sides of bowl with a fork.
Dissolve yeast in warm water. Let stand several minutes, then stir. Scald cream, cool to lukewarm. Blend in egg yolks. Add yeast. Pour yeast mixture into bowl and blend.
Cover bowl with waxed paper and a cloth. Chill from 3 to no more than 24 hours. Since this is a rich dough, it rises very little.
Prepare filling before removing dough from refrigerator.
Divide dough into eight parts. Roll out one at a time on board sprinkled with confectioners sugar. (Refrigerate remaining dough.) Shape a piece of dough into a ball in the hands. Then roll into an 8-inch circle. Add sugar to board for easy rolling.
Cover circle with a thin layer of filling. Cut into eight wedges. Roll up beginning at rounded edge. Place on ungreased pan.
Bake without further rising in preheated 375º oven 15-20 minutes. Remove from pan and cool on rack.
Beat egg whites to the soft peak stage. Gradually beat in the sugar and vanilla. Beat again until stiff. Gently fold in the finely chopped nuts.