Mix the butter with the sugar and add the egg yolk , one by one. Mix well after every addition and incorporate the lemon zest.
Mix the dry ingredients. Form the dough by stirring in the egg mixture and vanilla with a wooden spoon and without kneading ingredients.
Cover it with plastic wrap and refrigerate it for 30-60 minutes (30 is usually enough if you are in a hurry).
Over a floured board, roll out the cookie dough to 1/4-in. thickness. Cut 2 1/2 inch diameter round cookies. Place on a cookie sheet and bake at 350°f for approximately 10 minutes. Take them off the cookie sheet and put them on a cooling rack to cool off.
A home-made form of dulce de leche is sometimes made by boiling an unopened can of sweetened condensed milk for 4 hours. completely submerge the can in boiling water for two hours on one side and then another two hours on the other side, use medium heat. All the time keep you eyes on the can because need to be totally cover with water. Let cool for another four hours without opening the can.
Once the cookies are cold, put a spoonful of dulce de leche in the middle of one cookie and carefully place another cookie on top. Press the top cookie gently to get the dulce de leche to the corners of the Alfajor. (You can roll the sides on some shredded coconut for a more classic look).