Preheat oven to 350°F (180°C) and line 2 baking sheets with parchment paper. With electric mixer, beat together butter and sugar until smooth. Beat in egg yolks and vanilla until smooth.
Combine flour, cornmeal and salt and add to butter mixture and blend. Shape teaspoonfuls of dough into balls and roll in chopped nuts. Place cookies 1 inch (2.5 cm) apart on prepared baking sheets. Press centres of cookies down with your thumb and bake 15 to 18 min. or until golden.
While warm, fill thumbprint centre of each cookie with little dollops of jam. For chewier cookies, fill centres with jam before baking.