Preheat oven to 375º
Measure the sifted flour, sugar, salt and butter into bowl. Blend butter into dry ingredients 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 flour mixture and blend.
Cover bowl with waxed paper and a cloth. Chill from 3 to not more than 24 hours. Since this is a rich dough, it rises very little.
(Filling) 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.
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 piece of dough into a ball in the hands. Then roll into an eight-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 ronuded edge. Place on ungreased pan.
Bake without further rising 15-20 minutes. Remove from pan and cool on rack. Roll in confectioners before serving.