You can make this sweet dough up to 4 days in advance; refrigerate, covered, until ready to use. Bake the cookies a day in advance, if desired; store in an airtight container for up to a week. Prep: 15 minutes, Chill: 30 minutes, Bake: 15 minutes.
Preheat oven to 325°.
Combine almonds and sugar in the bowl of a food processor fitted with a metal blade; puree until almonds are finely ground, about 1 minute.
Add flour and next 3 ingredients, and pulse several times. Add butter, and pulse until mixture is crumbly and resembles coarse meal.
Whisk together egg and vanilla in a small bowl, and add to almond mixture. Pulse until dough becomes sticky.
Transfer dough to a lightly floured work surface, and knead several times to form a disk. (Dough will be soft.) Cover with plastic wrap, and chill 30 minutes.
Divide dough into 24 portions; roll each portion into a ball. Place balls on an ungreased baking sheet, about 2 inches apart. Press a thumb into center of each cookie to make an indentation.
Spoon 1/2 teaspoon jam into each indentation. Bake 15 minutes or until cookies are light golden brown. Remove from oven; cool on baking sheet 5 minutes, then transfer cookies to wire racks to cool completely.