Combine the flour and butter until the mix resembles fine breadcrumbs. Add the sugar, egg yolks and vanilla extract and whiz to a smooth dough. Wrap and chill for at least 30 minutes before using.
Roll out the dough on a lightly floured surface and cut out star shapes, using a 10 cm (4 inch) star biscuit cutter. Space them slightly apart on greased baking sheets, then re-roll the trimmings to make extras. Using a skewer make a small hole on each star, near the tip of a point. Bake in a preheated oven, 180°C (350°F), Gas Mark 4, for 15 minutes or until pale golden. Remove from the oven and immediately remake the holes. Transfer to a wire rack to cool.
Place the citrus juice in a small bowl and gradually beat in the sugar until the glaze thickly coats the back of the spoon. Spread it over the biscuits almost to the edges of each star.
Put the royal icing in a piping bag fitted with a plain nozzle. Pipe 3 lines across each biscuit, then pipe a row of tiny chevrons over each line to create a snowflake effect. Leave in a cool place to set for at least 1 hour before threading with thin ribbon.