In a medium bowl stir together flour and salt. Cut in chilled butter until the texture of the mix is mealy with pea sized lumps.
Add ice water gradually while stirring with a wooden spoon until dough forms a ball. Cover your dough and chill for 1/2 hour.
To make filling, in a small bowl mix together the marzipan and sugar. Add the egg and mix well.
Preheat oven to 190 degrees C .
On a lightly floured surface roll out the dough to 5mm thickness, making as square as possible. Cut the dough into strips 15cm long and 4cm wide. Using a pastry bag pipe almond filling down the center of the strip starting halfway down. Fold the top half of the strip down over the almond filling to match the bottom.
Shape strips into desired letters, brush with milk and sprinkle with sugar. Bake in preheated oven for about 20 minutes or until golden brown - check after 15 minutes. Remove from the oven and cool on a wire rack.