In a large bowl, with an electric mixer, cream together the butter and sugars. Beat in the egg and vanilla.

Sift together the flour and baking soda.  Blend into the sugar mixture.  Form the dough into two disks.  The dough should resemble the texture of pie dough.  Wrap the disks in plastic wrap and refrigerate for one hour. 

Meanwhile, make the filling.  With a fork, blend the almond paste and heavy cream until smooth.  Set aside.

Preheat the oven to 350°F.  Working with one disk at a time, on a lightly floured surface, roll to a 1/8-inch thickness.  With a 1 1/2-inch round cookie cutter, cut out an even number of rounds.  Place half of them on a baking sheet lined with parchment paper.  Place 1/4 teaspoon filling in center of each.  Brush the rim with a small amount of milk, carefully top each cookie with another round and gently seal the edges with your fingertip.

Top each cookie with two almond slices and bake for 8 to 10 minutes, until the edges are golden.  Cool for 3 minutes on the baking sheet, then transfer them to a wire rack to cool completely.  Dust with confectioners' sugar and enjoy!