Cream together the sugar and butter in a food processor/stand mixer or with a hand mixer. Add the egg yolk and vanilla and blend in. Add the flour and cornstarch, mix and bring together into a ball. Wrap in cling wrap/film and chill for 30 minutes.
Part way through cooling, preheat the oven to 350F/175C.
Once the dough has cooled, roll out the dough relatively thinly (approx ¼in/2-3mm) and cut small circles and place on a lined cookie sheet/baking sheet/tray. Repeat with the rest of the dough. Bake the cookies for approx 1-12 minutes until they are just starting to brown very slightly. They should still be very pale. Leave to cool a minute before transferring to a cooling rack.
When the cookies are cool, put a small spoonful of dulce de leche on one cookie and press another on top. Make sure you press them together holding the middle of the cookie so the cookies don't break. If needed, twist them slightly to spread out the dulce de leche. While I didn't here, you can roll the outside in coconut if you like, or lightly dust with confectioner's/icing sugar.
Notes
Note the number of cookies is based on the small cookie size - you can use slightly bigger but recommend not much above 3in/7.5cm as larger cookies will break more.