Traditionally, these Christmas cookies are made using pureed, freshly cooked chestnuts, although in some parts of Southern Italy, mashed chickpeas or ground almonds are used. Often they're deep-fried, and dipped in honey or rolled in cinnamon-flavoured sugar once cooked. Baking them is altogether an easier way to go. You can make the dough and filling ahead of time and once baked, these can also be frozen.