There are two kinds of King Cakes in France; one is layers of puff pastry filled with almond cream, and the other is a circular yeasted cake, more popular in the south of France, festooned with colorful, sticky candied fruit. 1 teaspoon milk Cook Mode Prevent your screen from going dark To make the almond filling, in a medium bowl, or in the bowl of a stand mixer, combine the almond flour, sugar, salt, and orange zest. Place an almond or piece of candied fruit to act as the fève (prize) somewhere in the almond filling, if you wish.