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Heat the oven to 195C/175C fan/gas 51/2 and line two baking sheets with baking parchment.
Melt the butter in a saucepan over a low heat and cook for 10 mins, stirring regularly, until it turns golden and smells slightly nutty. Keep an eye on the colour as the butter can burn quickly. Immediately pour the butter into a large bowl, add the sugar and vanilla, and mix thoroughly. Leave to cool a little, then sieve in the flour and bicarb.
Use a large teaspoon to scoop pieces of the mixture and mould them, pushing down slightly to flatten the tops and smoothing away the excess on the sides with a finger. Slide off the spoon and arrange on the prepared baking sheet, flat side down. Repeat with the remaining mixture. Bake for 10-12 mins until light golden. Leave to cool completely.
Spread a small amount of jam on the flat side of each biscuit. Sandwich with another biscuit. Tip the sugar onto a plate, then roll each of the biscuits in it to coat.