Heat oven to 170C/150C fan/gas 3 and roast the almonds for 5-10 mins until they are a pale golden colour. Cream together the butter, sugar, rum and a pinch of salt, then add the flour until the dough just comes together - it will be soft. Roughly chop the almonds and add them to the dough. Carefully roll out the dough on a well-floured surface to a 4-5mm thickness and cut out small cookies roughly 3-4cm across. Freeze the cookies on a baking sheet for 20 mins to harden.
Bake the cookies in the oven for about 20 mins until just set - they will still be very pale. Lay out on a wire rack and dust icing sugar on both sides while they are still warm, being careful not to break them as you turn them. The icing sugar will melt. When they are cool, sprinkle them extremely generously with more icing sugar so that they are completely white. Store in an airtight container for up to 2 days, or freeze for up to 2 months.