In a bowl, whisk butter and lemon zest.
Add the egg yolk and whisk until it's smooth and mixed properly.
Now, add the heavy cream and whisk again.
In a separate bowl, add flour, cheese, rosemary and salt and mix them.
Pour the flour mix in the butter mix ¼ cup at a time and keep whisking. Continue till all the flour and butter is mixed properly.
Cover the bowl and let it rest for 30 mins in the refrigerator.
Finally, give it one last knead with hand and make the cookies. You could use a rolling pin to roll them and cut in shape. Or make tiny balls and press them with your palm.