Using a stand mixer or hand held mixer, cream the butter and sugar until light and fluffy. This should take about 2 minutes. Once light and fluffy, add the vanilla extract and egg yolks and beat until incorporated.
Add 1/2 of the flour and mix until fully incorporated. Add in the other 1/2 of the flour and salt, mix until incorporated and there are no more streaks of flour.
Refrigerate the dough for at least 2 hours or overnight.
Once the dough has chilled, preheat the oven to 325°F and line two baking sheets with parchment paper.
Roll the dough into small balls (I use a tablespoon to make sure the cookies are uniform), dip into egg whites and roll in the finely chopped walnuts.
Place on a baking sheet and make an indentation with your thumb or a teaspoon. Make sure the cookies are spaced about 1-inch apart.
Bake for 5 minutes, then remove the sheet pan and press down again with the teaspoon. Place back in the oven and bake for an additional 10-15 minutes or until lightly browned.
Fill the indentations with 1 tsp of jam while the cookies are still warm. Then transfer to a cooling rack to cool completely.
Store in an airtight container up to 5 days in the fridge or on the counter, this depends on the type of jam you use. (See notes.)