Start by mixing all the dry ingredients in a bowl: the flour, a pinch of salt, cinnamon, and orange and lemon zest.
Add 125 ml of olive oil, 25 ml of aniseed liqueur, and 125 ml of sweet wine, and mix until you get a crumbly dough.
Gather the dough with your hands and wrap it in plastic wrap. You can and form a thick sheet of dough (about 2–3 cm thick) using a rolling pin.
Let the vegan Christmas cookie dough rest in the refrigerator for 2 hours or overnight.
Once the dough is sufficiently chilled, roll it out slightly on a floured surface until it is 1.5–2 cm thick. Cut out Nevaditos with a round cookie cutter.
Place the Nevaditos on a baking sheet.
Preheat the oven to 180ºC (350ºF) with heat from above and below.
Bake for 25–30 minutes until golden brown.
Let the Nevaditos cool completely before handling them to avoid breaking.
Coat the Nevaditos in powdered sugar or prepare the chocolate coating.