Preheat oven 350 degrees and line baking sheet with parchment paper.
In a bowl, mix the flour, baking soda, baking powder and salt; set aside. In another bowl, mix the egg, oil, orange zest and sugar. Add the dry ingredients to the wet, alternating with the buttermilk, until all the ingredients are well combined.
Drop the dough, a teaspoonful at a time keeping the shape as rounded as possible, onto the prepared baking sheet, taking care to leave enough space between the cookies as they expand while baking.
Bake about 8 minutes, until slightly golden around the edges, but do not overbake for they will get hard. Transfer to a wire rack to cool completely.
While the cookies are cooling, prepare the filling. In a mixing bowl using an electric mixer, mix the cream cheese and butter until light and well blended. Add the sifted powder sugar, in batches, until the filling is perfectly smooth. Add the almond extract, mix well.
To fill the cookies, use a pastry bag or spoon to spread the filling onto the the flat side of one cookie and then sandwich another cookie on top.