In a medium bowl, mix together peanut butter, sugar, egg and vanilla until well blended. Drop by teaspoonfuls onto ungreased baking trays. Use a fork to make a criss-cross pattern on the top. Make a small hole in the top of each cookie using the handle of a wooden spoon. Fill the holes with jam.
Bake for 8 to 11 minutes in preheated oven. Allow to cool for a couple of minutes on the baking trays before transferring to wire racks to cool completely.