In a large bowl, cream butter and sugar until light and fluffy, 5-7 minutes. Beat in the egg yolk and vanilla. Gradually add flour and mix well.
Divide dough in half and shape each half into a 14-in. roll; reshape each roll into a 14x1-⅛x1-⅛-in. block. Wrap and refrigerate overnight.
Unwrap dough and cut into ¼-in. slices. Place 2 in. apart on ungreased baking sheets. Sprinkle half the cookies with nuts, gently pressing into dough.
Bake at 400° for 8-10 minutes or until golden brown around the edges. Remove to wire racks to cool completely.
In a small bowl, cream the butter, lemon juice and orange zest until fluffy. Gradually add confectioners' sugar until smooth. Tint yellow if desired. Spread about 1 teaspoon filling on bottoms of the plain cookies; place nut-topped cookies over filling.
