Heat the horchata and vanilla in a saucepan. Beat the egg yolks with the sugar and corn flour. Add the hot horchata and remove yolks. Strain the mixture back to saucepan and cook, stirring constantly until it thickens. Let cool.
 

To prepare the cookies

Put in a bowl the glazed sugar, butter, flour and egg whites. Mix well and make small piles on a baking tray covered with baking paper. Scatter in the paper with a spoon until getting a thin crust and bake at 180 C degrees for 6 minutes (pre-heat the oven). Mold the cookies before they cool down. Serve the custards in glasses and put the cookies over them.