Preheat oven to 350 degrees.
Line your baking sheets with parchment paper or a silpat mat.
In your mixer, add your chilled butter, sugar and salt. Mix on low until just combined. You don't want to mix too fast, that incorporates air and we don't want that.
Add cold eggs and vanilla (and any other extracts you want to add). Mix on low until just incorporated. Your dough will look slightly chunky from the butter. Don't get frazzled. This is normal. If there are any really large chunks, break those up. Scrape bowl as necessary.
Add your flour. Turn mixer on low and mix until dough forms. The dough will start to ball on the paddle and pull away from the sides.
Turn half of your dough onto a foured surface.
Flour the top of the dough and your rolling pin.
Roll dough to desired thickness. I prefer a thinner cookie for these because we are going to fill and sandwich them.
Once rolled and cut, fill your cookies. This is a fine line. I like to fill almost to the edge but not with a thick layer. You want filling in every bite and there is a good chance it will spill over in the baking but you don't want to skimp on the filling.
After you fill, use a fork and crimp the sides. This seals the cookie closed.
Beat your egg in a small bowl with a fork and use a brush to brush the egg wash over the cookies.
Bake for 12-16 minutes. You want the cookies to start to brown on the edges.
While cookies rest, make royal icing.