In a large mixing bowl beat cream cheese and butter with an electric mixer on medium to high speed about 3 minutes or until very light and fluffy, scraping sides of bowl occasionally. Gradually beat in flour and salt. Form mixture into a ball and knead until smooth. Divide dough into thirds. Cover and chill overnight.
Preheat oven to 400 degrees F. Line a cookie sheet with parchment paper; set aside. Remove dough, one portion at a time, from the refrigerator and place on a lightly floured surface. Roll dough into a 9-inch square. Cut rolled dough into nine 3-inch squares.
Place squares 1 inch apart on the prepared cookie sheet. Cut 1-inch slits from the corners toward the center of each square. Spoon about 1 teaspoon of the preserves into each center. Brush dough lightly with beaten egg. Fold every other tip (one from each corner) to the center to form a pinwheel, pressing tips gently to seal.
Brush lightly with the remaining beaten egg and sprinkle with sanding sugar. Bake for 9 to 10 minutes or just until golden and slightly puffed. Transfer cookies to a wire rack; cool.