Preheat oven to 180°C (160°C fan oven, 350°F/Gas 4). Line 2 large baking trays with baking parchment. In a mixing bowl, cream the margarine and sugar together until pale and creamy then beat in the egg yolk and 1/2 tsp of vanilla extract.
Gradually sieve in the flour and baking powder, and add the milk, stirring well after each addition, to make a smooth, thick cake mixture. Spoon the mixture into a large piping bag fitted with a 1cm (1/2inch) plain nozzle.
Pipe small mounds on the baking trays - you should be able to make 24. Bake in the oven for 10-12 minutes until risen, lightly golden and firm to the touch. Cool for 10 minutes then transfer to a wire rack to cool completely.
For the icing, sift half the icing sugar into a mixing bowl and gradually mix in 10-15ml (2-3 tsp) water to make a smooth, spreadable icing. Spread thickly over the peaked side of 12 halves and sprinkle thickly with sugar strands. Leave for a few minutes to set.
For the filling, put the butter in a mixing bowl and beat until soft. Gradually sieve in the remaining icing sugar, beating well after each addition, to make a smooth, spreadable icing. Add vanilla extract and spread thickly over the flat sides of the remaining pie halves. Sandwich 2 halves together to serve.