Beat the butter until creamy. Add the sugar gradually, beating until the mixture is light and fluffy. Add egg yolks, one at a time, beating well after each addition. Beat in the vanilla and lemon rind.
Sift together the cornstarch, flour, baking powder and salt. Gradually add the dry ingredients to the butter mixture, beating until thoroughly combined.
Drop the batter by small spoonfuls onto well buttered baking sheets. Leave enough space between the cookies because they will spread.
Bake in a 350 degrees oven 15 minutes. Immediately remove from the baking sheets and let cool.
When cool, spread some Dulce de leche on the bottom half of the cookies and make a sandwich with the remaining cookies. Squeeze the sandwiches so that some of the dulce de leche is squeezed out the sides, and roll the sides in the grated coconut.