In a large bowl, cream butter and sugar until light and fluffy. Beat in egg yolks and vanilla. Gradually stir in the flour, salt and nutmeg and mix well. Cover and refrigerate for 1 hour or until firm.
In a small bowl, whisk egg whites until foamy. Shape dough into 1-in. balls; dip in egg whites, then roll in walnuts. Place 2 in. apart on baking sheets coated with cooking spray.
Using a wooden spoon handle, make a 1/2-in. indentation in the center of each ball. Bake at 350° for 10-12 minutes or until center is set. Carefully remove from pans to wire racks to cool.
For filling, combine the butter, confectioners' sugar, extract and enough milk to achieve a spreading consistency. Tint with food coloring if desired. Pipe about 1/2 teaspoon into each cookie. Yield: 4 dozen.