• Adjust the oven racks to the upper-middle and lower-middle positions and heat the oven to 350 degrees.
• Line 2 baking sheets with parchment paper.
• Process the almonds in a food processor until finely ground, about 30 seconds.
• Combine the flour, cocoa, salt, and cayenne in a bowl.

Make the dough:

• Using a stand mixer fitted with a paddle, beat the butter and sugar on medium-high speed until pale and fluffy, about 2 minutes.
• Add the melted chocolate, egg yolks, liqueur, and vanilla and beat until incorporated.
• Reduce the speed to low, add the flour mixture in 3 additions and mix until just combined, scraping down the bowl as needed.

Forma and bake the cookies:

• Working with 2 teaspoons of dough at a time, roll the dough into balls and place 1 inch apart on the prepared sheets.
• Sprinkle the ground almonds on top, pressing lightly to adhere.
• Bake until the edges appear dry, 8 to 10 minutes, switching and rotating the sheets halfway through baking.
• Let the cookies cool on the sheets for 5 minutes and then transfer to a wire rack to cool completely, about 40 minutes.

Assemble and serve:

• Spread 1/2 teaspoon of dulce de leche over the bottom of half of the cookies and then top with the remaining cookies to form sandwiches.
• Serve.