Steps:
- Make dough: Whisk together flour, sugar, and baking powder in a bowl. Put butter and cream cheese into the bowl of an electric mixer fitted with the paddle attachment; mix on medium-high speed until fluffy, about 2 minutes. Mix in egg and vanilla. Reduce speed to low. Add flour mixture, and mix until just combined. Divide dough in half, and pat into disks. Wrap each piece in plastic, and refrigerate until dough is firm, 1 to 2 hours.
- Preheat oven to 350°F. Line baking sheets with nonstick baking mats (such as Silpats).
- Make filling: Put cream cheese and sugar into the bowl of an electric mixer fitted with the paddle attachment; mix on medium speed until fluffy. Fold in coconut and chocolate chips.
- Remove one disk of dough from refrigerator. Roll about 1/8 inch thick on a lightly floured surface. With a fluted cookie cutter, cut into fifteen 2 1/2-inch squares. Transfer to prepared baking sheets, spacing about 1 1/2 inches apart. Refrigerate 15 minutes. Repeat with remaining dough.
- Place 1 teaspoon filling in center of each square. Using a fluted pastry wheel, cut 1-inch slits diagonally from each corner toward the filling. Fold every other tip over to cover filling, forming a pinwheel. Press lightly to seal. Use the tip of your finger to make a well in the top.
- Make glaze: Using a pastry brush, lightly brush tops of pinwheels with beaten egg. Sprinkle with sanding sugar. Bake 6 minutes. Remove and use the lightly floured handle of a wooden spoon to make the well a little deeper. Fill each well with about 1/2 teaspoon jam. Return to oven, and bake, rotating sheets halfway through, until edges are golden and cookies are slightly puffed, about 6 minutes more. Transfer sheets to wire racks; let cool 5 minutes. Transfer cookies to rack; let cool completely. Cookies can be stored in single layers in airtight containers at room temperature up to 3 days.
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