In the bowl of a stand mixer or with an electric mixer, cream the butter and sugar together until light and fluffy.
Add the egg, vanilla and orange zest to the butter mixture and beat together until fully combined and creamy.
Mix in the flour and salt until the dough just comes together. Transfer to a lightly floured surface and shape into a flat disc, wrap and chill; for about 2 hours.
While the dough is chilling assemble your fillings. I like to use preserves, spreads, and Nutella for beautiful colors and a range of flavors. You can make your own or buy ready made at the market.
Rolling and shaping dough
Preheat the oven to 350°F and line a baking sheet with parchment paper. Set aside.
Once the dough is chilled, it will be stiff. I like to let it sit out for a few minutes which helps with the rolling process. Transfer to a lightly floured surface.
Using a heavy rolling pin, roll the dough until it's quite thin; about 1/4 to 1/8 inch thickness. The thinner you roll the dough the more delicate the cookies will be. The guys in my house love the cookie so much, I make a few thicker ones for them :).
Using a 3-inch cookie cutter or the rim of a 3-inch diameter glass, cut circles from the rolled dough and transfer to the baking sheet. Gather scraps and re-roll the dough. If you're using a thin dough, you should be able to make about 35 circles. A thicker dough will yield less cookies.
Place 1 teaspoon of filling into the center of each circle. Be careful not to overfill as the it will seep out during baking.
Assembling the cookies
Fold the left side of the circle toward the center. Then fold the right side of the circle toward the center and overlap the upper part of the left side.
Finally, fold up the bottom part of the circle to form a triangle. Tuck the left side of the bottom flap underneath the left side corner of the triangle, and the right side of the bottom flap over the right side corner of the triangle. This folding technique helps keep the filling inside the cookie during baking.
Pinch each corner to secure the triangular shape. If any cracks have formed in the cookie dough, smooth them with your fingers until they disappear. Repeat for all cookies.
Baking the cookies
Bake for 10 to 20 minutes, or until golden brown on the corners and the filling is bubbling. The time difference will depend on your oven and the thickness of your cookies. I begin checking them at 10 minutes and usually bake for about 12 minutes, using a thinner dough.