Cream margarine with sugar. Add egg yolk (reserve egg white), lemon juice and grated lemon and orange peels and beat. Add flour and mix well. Chill for one hour.
Preheat oven to 350 degrees F (180 degrees C).
Dip a teaspoonful of dough into slightly beaten egg white and then into nuts. Place nut side up, 2 inches apart on lightly-oiled cookie sheet. Bake for 20-25 minutes or until lightly browned. Transfer to cooling rack immediately.