Place the anise seeds in a small bowl with the rum. Set aside to marinate overnight.
In a medium bowl cream together the butter, sugar and vanilla until smooth. Stir in the anise seed 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 the oven to 180 degrees C. On a lightly floured surface roll the dough out to 3mm thickness. Cut into desired shapes using biscuit cutters. Place biscuits on a greased baking tray.
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 cake racks to cool completely.