Preheat oven to 180℃ (160℃ fan forced). Line 2 baking trays with baking paper.
Cream butter and sugar in a bowl until light and fluffy. Add egg yolks and vanilla and beat well to combine.
Add custard powder, plain flour and self-raising flour and mix until a dough forms. Roll heaped teaspoons of mixture into balls (I weigh each ball and mine weighed about 18g each). Place onto prepared trays leaving a little room for spreading. Using the back of a fork, lightly squash each biscuit to mark the top.
Bake in the oven for 10-12 minutes or until biscuits move when pushed gently with your fingertip. Remove and transfer to a wire rack to cool completely.
Meanwhile, to make the filling, combine butter, icing sugar, boiling water and orange zest in a bowl until well combined. Spread half of the biscuits with the orange filling cream (be generous) then sandwich together with the remaining biscuit halves. Allow to set before serving, if you can wait!