How to Make It
In a food processor, pulse the flour with the granulated sugar and salt. Add the butter and pulse until the mixture resembles coarse meal with some pea-size pieces remaining. Add the egg and vanilla and pulse until the dough just comes together. Scrape out onto a work surface and pat into a disk. Wrap in plastic and refrigerate until chilled, about 1 hour.
Preheat the oven to 350° and line 2 large rimmed baking sheets with parchment paper. On a lightly floured work surface, roll out the dough 1/4 inch thick. Using a 2-inch round cookie cutter, stamp out cookies as close together as possible; transfer to the prepared baking sheets. Gather the scraps, re-roll and stamp out more cookies. You should have a total of 48.
Bake the cookies for about 20 minutes, until golden; rotate the baking sheets from top to bottom and front to back halfway through baking. Transfer to a rack to cool.
In a small saucepan, warm the jam over moderate heat, stirring, until runny, about 3 minutes. Brush a thin layer of jam on 24 of the cookies and top with the remaining cookies.
In a medium bowl, combine the almond paste with the confectioners’ sugar and knead until blended. Roll out the almond paste 1/8 inch thick between 2 sheets of parchment paper. Using a 2-inch round cookie cutter, stamp out 24 rounds. Brush the top of each cookie sandwich with another thin layer of jam and top with the rounds of almond paste.
In a microwave-safe bowl, heat the chocolate at high power in 30-second bursts until just melted. Stir until smooth. Dip the top of each sandwich cookie in the chocolate, just enough to coat the almond paste; transfer to the baking sheet. Top each cookie with a walnut half. Let the chocolate set before serving.