Cookie dough:

• Grind vanilla biscuits: Grind 6 ounces vanilla biscuits with a hand grinder or crush them on the work surface with a rolling pin.
• Make the dough: Place the ground biscuits, ⅓ cup ground walnuts, 3 Tablespoons cocoa powder, and ⅔ cups powdered sugar in a large bowl. Add ¾ stick unsalted buttercut it into smaller pieces. Pour in 2 Tablespoons milk and 2 Tablespoons rum.
• Make a smooth dough. Gradually work the butter with your fingers, rubbing it with the other ingredients until crumbs form. Turn the mixture out onto a work surface and knead by hand into a compact dough.
• Wrap the dough in cling film and put it to rest in the fridge for two hours.
• Make rum custard filling: In a separate bowl, put ¾ stick unsalted butter (softened at room temperature), 1 ½ Tablespoons powdered sugar, 1 egg yolk, and 1 Tablespoons rum. Using a spoon, cream everything until light and airy (1 minute or so).
• Assembling the beehive cookies: Sprinkle half a cup of granulated sugar on a work surface.
• Rinse the cookie mold with cold water and sprinkle it with the sugar inside that you have previously poured on the work surface. Tap the mold lightly to shake off the excess sugar.
• Take the cookie dough out of the fridge. Scoop out a small piece of dough and squeeze it a few times in your palm. The heat in your palm will help soften the butter in the dough, making it easier to work with. Now press the dough into the prepared mold.
• Carefully make a hole in the middle, either with your finger or the round end of a wooden spoon. Do not use too much pressure; the cookie won't come out easily and will tear. 
• Fill the hole with rum custard. I myself use a teaspoon for this.
• To finish the base, use a round biscuit or wafer to seal the bottom.
• Carefully tap the mold on the work surface to release the cookie.
• Sprinkle the inside of the mold with sugar again (do not rinse anymore!). Repeat making beehive cookies until you have used up all the dough and filling.