Sift flour, salt and sugar into a large bowl. Rub in half the butter, then stir in yeast.
Mix lukewarm milk into flour mixture with egg yolks to form a soft dough. Knead for 10 minutes on a floured surface until dough is no longer sticky. Cover with cling film and leave in a warm place until doubled in size.
Roll out on a floured surface to about 1 cm thick. Cut out circles with a scone cutter.
Melt remaining butter and brush dough circles to coat. Overlap in a greased ovenproof dish, brush tops with jam, and sprinkle with nuts.
Cover with cling film and leave in a warm place for about 30 minutes, or until doubled in size. Remove cling film and bake in a preheated oven at 180 ¦C until golden.
Five minutes before dumplings are done, heat milk. Mix jam, sugar, egg yolks and cornflour. Stir into heated milk. Bring to the boil while whisking to thicken. Stir in the sherry or vanilla essence and whisk until fluffy.
Pour sauce over dumplings and serve.