Heat oven to 350F. Beat cream cheese, butter, sugar and vanilla with electric mixer until blended. Add flour, baking soda and pecans; mix well.
Refrigerate 30 min. Shape dough into 1 inch balls. Place on baking sheet. Indent centers.
Bake 10 min. Fill each cookie with about 1 tsp.jam. Bake 8-10 more min. or until golden brown. Cool on baking sheet a couple of minutes. Remove to wire racks, cool completely.