Preheat the oven to 325 degrees F. Line 2 baking sheets with parchment. Pulse the nuts, confectioners' sugar and granulated sugar in a food processor until finely ground. Add the flour, cinnamon and salt and pulse until combined. Add the butter and pulse to form a soft dough.
Roll heaping teaspoonfuls of dough into balls and arrange 1 1/2 inches apart on the prepared baking sheets. Lightly flatten the balls with your fingers. Sprinkle with coarse, raw, sanding or brown sugar. Press a whole nut into the top of some of the cookies or sprinkle with chopped nuts.
Bake the cookies until lightly golden, about 15 minutes. Let cool 3 minutes on the baking sheets, then transfer to racks to cool completely. Spread your choice of filling on the flat side of a cookie; sandwich with another cookie. Repeat with the remaining cookies.