Cream together butter, cream cheese, sugar and vanilla. Stir in sugar to form a dough. Cover and allow to sit in fridge for an hour.
Preheat oven to 180 degrees C. Line baking tray with baking paper (or grease it).
Remove dough and roll into 4 balls. Roll one ball into a square to about 3mm thick. Spread with 1/4 of the jam then sprinkle on the 1/4 of the sultanas and walnuts. Roll up like a swiss roll then cut of slices about 5cm long.
Place rugelach on prepared baking tray. In a bowl combine egg and sugar, brush over the tops of the rugelach then bake in preheated oven for about 20 minutes.