- To make the dough: In a medium bowl, beat together the egg, egg yolk, rum (or brandy or whiskey), vanilla, salt, 1/4 cup of the confectioners' sugar, and sour cream until smooth. Stir in the flour to make a soft dough.
- Divide the dough in half, shape each half into a slightly flattened log, wrap, and refrigerate for at least 30 minutes, or as long as overnight.
- To shape: Working with one piece of dough at a time, roll out on a well-floured surface to a 12" x 10" rectangle, 1/8" thick. Cut the rectangle into two 5" x 12" pieces, then cut each piece crosswise into a dozen 5" x 1" strips.
- Cut a lengthwise 1" slit in the center of each strip. Carefully pull one end of the dough through the opening and, once through, give it a single twist. Lay the shaped dough on a baking sheet and repeat with the remaining dough strips. If the kitchen is very warm, refrigerate the shaped cookies while you work with the second half of the dough.
- To cook: Heat 2" of vegetable oil (or shortening) in a large, deep saucepan or deep electric frying pan to 375°F. Fry the cookies five or six at a time by dropping them into the hot oil and cooking for 60 to 90 seconds, turning them with a fork or tongs midway through. The cookies should be golden brown and crisp. Transfer them from the oil with a slotted spoon onto absorbent paper; immediately shower them with the remaining confectioners' sugar. Transfer to a rack to cool.
- Store cookies in an airtight container at room temperature for up to 2 days. These cookies are at their best when fresh.