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Cut butter and cream cheese into small pieces and beat until creamy.
Add vanilla and 1/3 cup of granulated sugar to bowl and mix until well incorporated.
Combine gluten free flour mix and salt, whisk until combined.
With mixer on low, slowly add in flour mix, beating well and scraping bowl after each addition. The dough will be sticky.
Separate dough into 4 equal pieces. Press dough into a flat disc shape and wrap well in plastic wrap. Refrigerate until firm and well chilled, about two hours.
When dough is well chilled, cover your work surface with plastic wrap or parchment paper and lightly flour. Take one of the wrapped pieces of dough out at a time, unwrap and place on your work surface.
Lightly dust with flour and roll dough out evenly to a 1/8" thick rectangle.
If desired, cover top of dough with a thin layer of jam or pie filling, leaving a narrow border around the edges.See note below for tips on selecting pie filling.
Combine remaining sugar with cinnamon. Sprinkle 1/4 of the cinnamon sugar mix on top of jam or filling, or if not using a filling, straight onto dough. Sprinkle with 1/4 of the finely chopped walnuts.
Starting with a long edge, roll dough into a tight roll, using the plastic wrap or parchment paper to help. Roll and press log down gently so the seam is on the bottom. The ends will be slightly loose - either cut them off or tuck them under and gently press them into the log.
Cut log into 1" pieces - a pizza cutter or bench knife works well. Brush with beaten egg and gently press top into the turbinado sugar. If egg free, brush lightly with water and press top into the turbinado sugar.
Place on a silicone mat or parchment paper covered baking sheet and refrigerate for 15 minutes. Preheat oven to 350 degrees.
Repeat with other chilled dough pieces.
Bake for 20-25 minutes until lightly golden brown. Place on a rack to cool completely.