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Make the cookies: preheat oven to 170c degrees.
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In a food processor with steel blade put butter, sugar, flour, vanilla and salt and blend until small crumbles form.
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Add the milk gradually and continue to process just until large clumps of dough are formed.
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Transfer the dough chunks on a lightly floured work surface, combine with your hands and make a round disc shape.
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Wrap in plastic wrap and refrigerate for about an hour.
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Roll out the dough on a floured surface to about 1/2 cm thick and cut out 5-6 cm circles.
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Arrange the cookies on an oven pan lined with baking paper.
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Bake the cookies for about 10 minutes or until golden. Cool completely.
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Italian meringue: in an electric mixer bowl with whisking attachment put egg whites and salt.
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In a small saucepan put sugar and water and heat to dissolve the sugar until the syrup reaches a temperature of about 115-118c degrees. When the syrup reaches 105c degrees, begin whipping the egg whites and salt on medium speed.
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When the syrup is ready remove from heat, increase the mixer speed to high and add in the syrup in a thin stream while whipping.
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Beat meringue for 6-10 minutes or until it is very stable. Towards the end of whipping, add the vanilla.
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Transfer the meringue to a pastry bag fitted with a round 2-3 cm piping tip. Pipe a tall generous mound of meringue over each cookie.
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Cool the krembos in the freezer for about an hour.
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Chocolate coating: melt the chocolate and put in a tall glass.
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Add oil and mix until incorporated.
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Dip the frozen krembos in the melted chocolate, shake off excess chocolate and place on a pan to set. Cool for about 10 minutes in the freezer and serve.