1. In a large mixing bowl, cream together the butter and confectioners sugar until smooth. Beat in the egg yolks. Add the zest and cognac and mix well. Sift the flour and baking powder together, then mix into the butter mixture to make a dough that is soft but not runny; if it is too soft, add some more flour. Form into a ball, cover with plastic wrap, and refrigerate for 30 minutes.

2. Preheat the oven to 350°F. Grease a large cookie sheet.

3. On a lightly floured work surface, roll the dough out to 1/8 inch thick and cut into 1½-inch rounds. Place on the prepared cookie sheet and bake until set, about 10 minutes; the cookies should not color at all.

4. Remove from the sheet and let cool on wire racks. Spread one cookie with dulce de leche and press a second cookie on top. If desired, spread dulce de leche around the sides of the cookie and roll in the grated coconut. Or just sift confectioners’ sugar on top. Repeat with the remaining cookies and dulce de leche. Tightly wrapped, these cookies will keep for a couple of days in the refrigerator or up to 3 months in the freezer.