Preheat oven to 350°F. Cream peanut butter, butter and sugars. Add the egg and vanilla. Sift the flour, salt and baking soda together. Combine with the peanut butter mixture.
Shape the dough into 1 ½ inch balls and place on an ungreased cookie sheet, about 2 inches apart. Use your thumb to make a thumbprint in the middle of each cookie ball. Bake for 9-11 minutes. Cool on wire rack.
Pour jam into a zip-top plastic bag and seal bag. Cut a small corner and pipe jam into cooled thumbprints. They're ready to serve. Store in airtight container in the refrigerator for up to 5 days.