Start by preparing the caramel cream: Put the can of condensed milk in a tall saucepan, cover with water and bring to the boil. Allow to simmer for at least 3 hours. Check occasionally, adding more boiling water if necessary to ensure the can is always covered with water. After 3 hours, it will have curdled and turned into caramel, or "dulce de leche" as it's known in Spanish-speaking countries.
Combine the flour, baking powder, salt, sugar, lemon zest, vanilla, eggs, and butter and knead to make a homogeneous dough. If it is too crumbly and does not stick, add a tablespoon of water and knead until you can shape it. Cover and refrigerate for 30 minutes.
Cut the dough into cookie size balls and shape them so that they fit in the walnut molds. You can find lots of walnut molds at affordable prices on Amazon.If you don’t have a walnut mold, you can make sandwich cookies by spreading the cream filling between two cookies.
Bake the cookies in the mold until golden brown. Don't worry if the dough is soft, it will harden as it cools. Trim the edges before they cool, or they will harden and become difficult to handle without cracking.
Mix the caramel cream with the trimmed off edges and use this mixture to fill each walnut half.
Optionally you can decorate the cookies with powdered sugar or cocoa.
Keep the cookies covered for at least 1 day before serving so that they soften as the biscuits absorb the moisture from the cream.