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In a large mixing bowl, beat butter, ricotta cheese and salt with an electric mixer on medium speed until smooth. Gradually beat in flour on low speed until combined. Cover and chill about 1 hour or until dough is easy to handle.
Preheat oven to 375°F. Lightly grease a large cookie sheet; set aside. On a lightly floured surface, roll dough until 1/2 inch thick. Fold in half; roll into a 15x12-inch rectangle. Cut into 3-inch squares.
For filling, in a small bowl combine walnuts, sugar, orange marmalade, orange peel and cinnamon.
Spoon 1 slightly rounded teaspoon of the filling into the center of each square. Fold two opposite corners to the center, overlapping slightly and pressing gently to seal (moisten dough with a little water if necessary). Place cookies on the prepared cookie sheet. Curve slightly into crescents.
In a small bowl, whisk together egg and water until frothy; brush cookies lightly with egg mixture. Bake for 18 to 20 minutes or until golden. Transfer cookies to a wire rack; cool.