In a mixing bowl beat margarine or butter with an electric mixer on medium to high speed for 30 seconds. Add about half the flour, the sugar, egg yolks, and vanilla. Beat till thoroughly combined. Beat in remaining flour.
Shape dough into 1 inch balls. Roll balls in egg whites then in nuts. Place 1 inch apart on a greased cookie sheet. Press centers with your thumb. Bake in a 375F oven for 10 to 12 minutes or till edges are lightly browned.
Cool cookies on a wire rack. Just before serving, fill centers with jam or preserves. Makes about 42.
Sometimes I fill them before baking as well for a different taste.
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