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Heat oven to 200C/180C fan/gas 6. Mix the butter, sugars, egg yolks and vanilla with a wooden spoon until creamy, then mix in the flour in 2 batches. Stir in the orange zest. Roll the dough into about 22 walnut-size balls and sit on baking sheets. Bake for 15 mins until golden, then leave to cool.
Meanwhile, mix the icing sugar with enough orange juice to make a thick, runny icing. Dip each biscuit half into the icing, then straight into the sprinkles. Dry on a wire rack.