Place the anise seeds in a small bowl with the rum. Set aside to soak overnight.
In a medium bowl, cream together the butter, sugar and vanilla until smooth. Stir in the anise seeds and rum. Mix in the egg. Combine the flour, salt, baking powder and cloves; stir into the butter mixture until well blended. Cover and refrigerate until chilled, about 1 hour.
Preheat oven to 180 C / Gas 4. On a lightly floured surface, roll the dough out to 3mm thickness. Cut into desired shapes using pastry/cookie cutters. Place biscuits on a greased baking trays.
Bake for 10 minutes in the preheated oven or until golden brown at the edges. Cool for a few minutes on baking trays before removing to wire racks to cool completely.