Roll dough into 1-inch balls, then roll in finely chopped nuts or sanding sugar, if using. Arrange on parchment-lined baking sheets, spacing each 1 inch apart.
Press a well into the center of each using your finger. Refrigerate until firm, about 30 minutes. Bake at 350 degrees for 7 minutes. Remove from oven, and press well again with handle end of a wooden spoon. Bake until firm, 7 to 9 minutes more.
Let cool completely. Spoon jam filling into thumbprints.