Preheat oven to 350°F.

In a bowl, cream sugar and butter together until fluffy. Add egg and mix well.

In a separate bowl, combine flour, baking powder, and salt, and add alternately to sugar mixture with milk and vanilla. Roll out the dough to ⅛-inch thickness and cut into rounds with a biscuit cutter. Place a teaspoonful of filling on the center of a round, then cover with another round and press edges together. Bake for 10 to 15 minutes, or until golden brown.