In a large mixing bowl beat butter with an electric mixer on medium to high speed for 30 seconds. Add sugar. Beat until combined, scraping sides of bowl occasionally. Beat in egg yolks and vanilla until combined. Beat in as much of the flour as you can with the mixer. Stir in any remaining flour. Cover and chill dough about 60 minutes or until easy to handle.
Preheat oven to 375 degrees F. Grease cookie sheets or line with parchment paper; set aside. Shape dough into 1-inch balls. Roll balls in egg whites; roll balls in walnuts. Place 1 inch apart on the prepared cookie sheets. Press your thumb into the center of each ball. Bake for 10 to 12 minutes or until bottoms are light brown. If the cookie centers have puffed up during baking, repress with the back of a small spoon. Transfer to a wire rack and let cool. Just before serving, fill centers with jam.