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1. In a small saucepan or skillet, heat the oil over moderate heat until a light haze forms above it. Remove the pan from the heat, stir in the strip of lemon peel and the anise and sesame seeds, and then set the oil aside to cool to room temperature.
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2. Discard the lemon peel and pour the oil and seeds into a large mixing bowl. Stir in the wine, grated lemon peel and orange peel, and the sugar, and mix until the sugar dissolves. Sift the flour and cinnamon into the mixture, ½ cup or so at a time, stirring well after each addition.
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3. When the dough becomes too stiff to stir easily with a spoon, knead in the remaining flour with your hands. Gather the dough into a ball and let it rest at room temperature for at least 30 minutes.
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4. Preheat the oven to 350°. Divide the dough into about 15 equal pieces. Pat and shape each piece into a flat cookie about 3 inches in diameter and ¼ inch thick. Arrange the cookies about 2 inches apart on an ungreased baking sheet.
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5. Press 6 to 8 almond slices gently but firmly into the top of each cookie and bake in the middle of the oven for 20 to 25 minutes, or until the tops of the cookies are golden brown at the edges and firm to the touch. Transfer them to a rack to cool. They may be kept up to 3 weeks in a covered jar.
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