Beat blue cheese and butter at medium speed with an electric mixer until fluffy. Add flour, poppy seeds, and red pepper, beating just until combined. Roll dough into 3/4-inch round balls; cover and chill 2 hours.
Arrange balls on ungreased baking sheets, and press thumb into each ball of dough, leaving an indentation.
Bake at 350° for 15 minutes or until golden. Transfer to wire racks to cool completely. Place about 1/4 teaspoon preserves in each indentation.
Blue Cheese Crisps: Combine ingredients for dough as directed. Shape dough into 2 (9-inch-long) logs. Wrap each log in plastic wrap, and chill 2 hours. Cut each log into 1/4-inch-thick slices, and place on ungreased baking sheets. Bake at 350° for 10 to 12 minutes or until golden brown. Transfer to wire racks to cool completely. Omit cherry preserves. Store crisps in an airtight container up to 1 week.