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Put the flour, butter, 85g of the icing sugar, the vanilla and egg yolks in a food processor and pulse in bursts until combined (alternatively, rub together the butter and flour with your fingertips and mix in the sugar, vanilla and egg yolks). Add ½ tbsp water if the mix feels a little dry. Tip the rough mixture onto a work surface and briefly knead until the dough has come together. Wrap and chill for 30 mins.
Heat the oven to 180C/160C fan/gas 4. Line two baking sheets with baking parchment. Lightly dust your work surface with flour and roll the dough out to around 3mm thick. Cut 24 rounds from the dough with a 7cm cutter. Bring the remaining scraps of pastry together and reroll to make more biscuits. Line up the discs of dough on the baking sheets, then bake for 10-12 mins or until lightly golden brown around the edges. Transfer to a wire rack and leave to cool completely.
Mix the remaining icing sugar with 2-3 tsp of water to make a very thick icing. Spoon or pipe the icing over the top of half of the biscuits, leaving a border around the edge of each one. Top with a small piece of glacé cherry in the centre, then leave to set for 30 mins. Spread the jam over the un-iced biscuits and sandwich together with the iced halves. Will keep for two days in an airtight tin.