Place the anise seeds in a small bowl with the rum. Set aside to marinate overnight.
In a medium bowl, cream together the butter, sugar and vanilla until smooth. Stir in the anise seed and rum. Mix in the egg.
Combine the flour, salt, baking powder and cloves; stir into the butter mixture until well blended. Cover and refrigerate until chilled, about 1 hour.
Preheat the oven to 350 degrees F (175 degrees C). On a lightly floured surface, roll the dough out to 1/8 inch thickness. Cut into desired shapes using cookie cutters. Place cookies on a greased cookie sheet.
Bake for 10 minutes in the preheated oven, or until golden brown at the edges. Cool for a few minutes on baking sheets before removing to wire racks to cool completely.