In the bowl of a stand mixer with the paddle attachment, cream the butter and sugar until fluffy. Add the vanilla, egg yolks, lemon zest and juice and orange zest and mix until combined. Use a rubber spatula to scrape the bowl, then mix again. Add the sifted flour and mix until combined. Transfer the dough to a resealable plastic bag and refrigerate until firm, at least 1 hour.
When ready to make the cookies, preheat the oven to 300 degrees F. Line 2 baking sheets with parchment paper or silicone baking mats. Cut about 18 candied cherries in half.
Roll the dough into small balls and set on the prepared baking sheets. Gently press 1 cherry half cut-side down into each ball. Bake about 20 minutes, removing the cookies from the oven before they brown. Cool on a wire rack.