In a medium bowl cream butter and cream cheese. Stir in the egg yolks and vanilla. Stir together the flour and baking powder. Add the flour mixture a little at a time until it is fully incorporated. Divide dough into 5 parts, wrap in plastic and refrigerate overnight.
In a medium bowl beat egg whites to soft peaks, add sugar a little at a time while continuing to beat to stiff peaks. Fold in ground walnuts and set aside.
On a lightly floured surface roll the dough out to 5mm thickness. Cut into 8cm squares, place 1/2 teaspoon of filling in the centre of each square and roll up from corner to corner. Place on baking trays and refrigerate until hardened.
Preheat oven to 180 degrees C. Bake biscuits for 10 to 12 minutes until lightly browned. Roll in icing sugar when cool.