Heat oven to 350° F.
Cut the dough crosswise into 2 portions; refrigerate 1 portion.
Roll the other one on a floured surface to 1/8 inch thick. Using a small (preferably 2-inch) star-shaped cookie cutter, cut the dough into cookies. Repeat with the remaining dough.
Bake until golden around the edges, 10 to 12 minutes. Transfer to a wire rack to cool.
Repeat with the remaining dough, rerolling the scraps. Turn half the cookies upside down and spread with about 1/2 teaspoon of jam each. Sandwich with the remaining cookies.
In Advance: Bake the cookies the day before and store them at room temperature. Sandwich them with the jam on the day of the party.