In a small-to-medium saucepan, combine the grapefruit juice with half the granulated sugar. Set on a burner on medium–high heat.
Meanwhile in a medium heatproof bowl, whisk together the egg yolks with the rest of the sugar. Whisk vigorously until the mixture turns a very pale, light yellow. Set aside.
Place another bowl with a strainer over top next to the stove, and have the chopped butter ready on a plate close by as well. Have a heatproof spatula ready too. Do all this before going any further.
When the grapefruit juice just comes to a boil, take the pot off the burner and pour it over the sugary egg mixture. Whisk to temper the eggs and combine all the ingredients together. Pour the mixture back into the saucepan and return the pot back onto the burner. Whisk the mixture over medium–high heat until it comes to a boil. Then boil the mixture for 1 minute, whisking like mad.
After the minute has elapsed, immediately take the pot off the burner and turn it off. Drop the butter into the saucepan, a few pieces at a time, whisking constantly and when all the butter has disappeared into the curd, transfer it all to the strainer set over a bowl. Collect the curd in the bowl, then cover with cling film pressed directly on the surface to protect it from the air. Chill overnight.
Coconut cookies
In the bowl of an electric mixer fitted with the paddle, cream together the butter and sugar until it is creamy and soft.
Add the salt and the egg yolk, and beat it until it is very well mixed, scraping down the sides as needed with a spatula.
Beat in the ground coconut, mix well, then add the flour. Mix on low until the dough forms. Divide the dough in two, pat into disks, wrap in plastic, and chill for about 1 hour.
Preheat the oven to 350 °F (175 °C). Line a couple baking sheets with parchment.
Roll out one disk of dough to a thickness of about ¼"-⅛" (not too thick, but not too thin). Cut out 2 ¼" circles with the dough, re-rolling the scraps to cut out more circles. You will end up with about 24 cutouts. Chill them on parchment-lined sheets for at least 15 minutes (30 minutes is better), then bake for 12–13 minutes, until the edges begin to brown a little. Let cool 1 minute before transferring to a wire rack to cool completely.
Repeat the rolling and cutting with the 2nd disk of dough to make 24 more circles, but this time, cut out a window with a small heart cutter or another small circle cookie cutter. Chill and bake as before. You should now how 24 top cookies with windows and 24 bottom cookies to make sandwiches.
When the cookies are cool, dollop a scant teaspoon of curd on the centre of each bottom cookie and top with a window cookie, twisting gently to glue them together.