In a medium bowl, cream butter and cream cheese. Stir in the egg yolks and vanilla. Stir together the flour and baking powder. Add the flour mixture a little at a time until it is fully incorporated. Divide dough into 5 parts, wrap in cling film and refrigerate overnight.
in a medium bowl, beat egg whites to soft peaks. Add sugar a little at a time while continuing to beat to stiff peaks. Fold in ground walnuts and set aside.
On a lightly floured surface, roll the dough out to 3 to 5mm thickness. Cut into 7.5cm squares, place 1/2 teaspoon of filling in the centre of each square and roll up from corner to corner. Place on baking trays and chill until hardened.
Preheat oven to 180 C / Gas 4. Bake pastries for 10 to 12 minutes, until lightly browned. Roll in icing sugar