For the biscuits: In a large bowl, using a wooden spoon or silicone spatula, beat the butter and sugar together until well combined and light. Then beat in the vanilla and egg, until well combined. Finally, beat in the flour - you may need to use your hands at this point to ensure the flour is evenly combined. Then flatten the dough into a disc shape, wrap in clingfilm and place into the fridge to chill for 1 hour.
Preheat the oven to 180C/160C Fan/Gas Mark 4, and line two baking trays with baking paper. Remove the chilled dough from the fridge, and cut in half. Place one half back into the fridge while you work with the other half.
Roll the half of dough out between two sheets of baking paper, until approx. 1/2cm thick. Then cut out 12 rounds with a 7cm fluted cookie cutter (you may need to re-roll the dough to be able to cut out all 12). Place these onto one of the lined baking trays. Then take the remaining half of dough from the fridge and repeat the process. Then place both trays back into the fridge for 5 minutes.
Remove one tray from the fridge and using a 3.5 diameter piping tip or a very small cookie cutter, cut out the middle of 12 of the biscuit dough rounds. So you end up with 12 full circle biscuits, and 12 ring circle biscuits. Then place back into the fridge and chill both trays for 20 minutes, or until the dough is very firm.
Bake the biscuits for 15 minutes until lightly golden brown. Leave to cool on the trays for a few minutes, before removing and placing on a cooling rack to cool completely.
To assemble: Match up the biscuits so you have 12 sandwiches (one base circle, and one top ring). Spread the jam onto all 12 of the base biscuits, and press the top ring biscuit onto each to secure. Finally, dust with icing sugar before serving.
Biscuits will keep for 3-4 days in an air-tight container.