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In a medium bowl, whisk together the flour, baking soda, and salt. Set aside.
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Combine the sugar and lemon zest in a large bowl. Use your fingers to massage the zest into the sugar until it has the consistency of wet sand.
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Add the butter to the sugar mixture and beat on medium speed until light and fluffy.
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Add the egg, egg yolk, and vanilla and mix until combined.
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Gradually add in the flour mixture and beat on low speed until combined.
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Divide the dough into six portions and place them into small bowls.
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Add a few drops of red gel food coloring to the first bowl and mix the color into the dough until its fully incorporated. Repeat with remaining colors.
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Shape the dough pieces into rectangles and wrap each one in a piece of plastic wrap. Place the dough pieces into the refrigerator to chill for 1 hour.
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Remove the chilled dough pieces from the refrigerator. Place the purple dough in-between two pieces of parchment paper. Roll the dough out to a 9x5 inch rectangle. Place it on a piece of plastic wrap. Repeat with the remaining dough pieces, going in reverse rainbow order (purple, blue, green, yellow, orange, red). Place each piece of rolled out dough on top of the last rolled out piece of dough.
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Wrap the rest of the plastic wrap around the rainbow layered dough rectangle and let chill for at least 3 hours (or overnight).
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Preheat the oven to 350 F and line two baking sheets with parchment paper.
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Use a sharp knife to cut off the edges of rainbow dough block so that they’re straight. Cut ½ inch strips of dough along the 5-inch (shorter) side.
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Cut each strip in half (for larger cookies) or in thirds (for smaller cookies).
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Place the cookies on a parchment lined baking sheet, about a ½ inch apart.
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Bake for 10-12 minutes, or until the edges just begin to brown. Let the cookies cool on the baking sheets for 10 minutes before transferring the wire rack to cool completely.