Using a stand or hand mixer, cream the butter with the sugar. When well combined, add the orange juice, egg yolk, vanilla, and lemon zest, and mix to combine. Add the baking soda and 1 1/2 cups flour, continuing to mix. Change the beaters to dough hooks and add in the remaining 1 1/2 cups flour. You can also knead it in by hand. The dough should begin to pull away from the sides of the bowl, but will still be sticky. If it is really gumming up those dough hooks, add a bit of flour, up to 1/4 cup.
Lop off a large bowl of dough and roll out on a counter sprinkled with flour. This dough will not necessarily roll out smoothly, so you have to work somewhat slowly to avoid tearing it. Get it as thin as you can, but don't worry if it comes out a bit thick. The cookies will still bake evenly.Next, prepare two cookie sheets with parchment paper and fire up the oven to medium heat (180°C/350°F). For each linzer cookie, you'll need a top and a bottom of the same shape. In the top cookie, make a small round hole using the handle of your rolling pin, an apple corer, or other handy implement. Lift out the bottoms first and place them on the parchment paper. Add a dollop of jam (about 1/4 tsp) on top and lay the top piece over the jam, allowing it to squeeze out the hole.
Once you are done sandwiching the jam into the cookies, use a pastry brush to brush on the reserved egg white. Scatter the crushed walnuts over the top. Bake for 12-15 minutes, until just slightly golden around the edges but still soft.
You can also add sprinkles and candies on top for some kid-friendly cookies.