Crust: Mix butter, cream cheese, egg yolks and flour; beat until smooth. Shape into 1 inch balls. Place into a container with wax paper separating each layer. Cover and refrigerate overnight.
Filling: Combine walnuts and 3 3/4 cups confectioners' sugar (the mixture will be dry). In a small mixing bowl, beat egg whites until soft peaks form; fold into nut mixture. Add vanilla and almond extracts and a few drops of water if necessary until filling reaches a spreading consistency. Place remaining confectioners' sugar (2 3/4 cup) in a separate bowl.
Roll cream cheese balls in sugar until completely covered. Place a few balls at a time between two sheets of wax paper. Roll balls flat into 2 1/2 inch circles. Gently spread 1-2 teaspoons of filling over each. Roll up; Place seam side down on ungreased baking sheets. Curve the ends slightly to look like horns.
Bake at 350°F for 20 minutes or until lightly browned. Cool on wire racks.