Beat egg yolks and sugar until very thick and plain color, for about 5 minutes. Use an electric mixer to speed up the process or your hand will get tired.
Stir in the vanilla, chopped walnuts and lemon rind into the yolk mixture.
Cover a baking sheet with parchment paper. Place small mounds (about 1 tbsp) of the batter on to the parchment-lined baking sheet 2 inches apart.
Bake for 10 minute or until cookies are dry and firm. To tell if the cookies are ready, simply look for slight golden edges. Cookies will be soft to touch when ready. (They will completely solidify once cooled).
Remove from the oven and let cool on the baking sheet for about 5-10 minutes. Remove to wire racks to cool completely.