In a medium mixing bowl, combine flour, salt, and sugar together. Add egg, butter and vanilla; mix until dough becomes stiff. Stir in sherry one tablespoon at a time until dough is workable and smooth. Cover and refrigerate for about 2 hours. On a lightly floured surface, roll the dough out to 1/8-inch thickness. Cut into long narrow strips, and tie into loose knots, do not pull tight.
Heat oil to 375°F. Fry cookie ties in hot oil for about two minutes, until they puff and turn golden brown. Drain on paper towels. Dust with confectioners sugar while still warm.
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