Add the egg yolk, vanilla flavoring and flour to the butter mixture, and mix by hand until it is a stiff batter. Break off pieces of dough that are about 1 Tablespoon in size and shape into balls by gently rolling between your palms.
Dip each ball in slightly beaten egg white, then roll in chopped nuts or shredded coconut. Place on a parchment lined baking sheet. Make a dent in the center of each ball with a thimble, the back of a small measuring spoon or your finger. Bake at 325°F for 15 minutes, or until the bottoms of the cookies are slightly browned.
Remove from the oven and immediately use the thimble to make the dents deeper. Fill the dents with a ¼ teaspoon jelly while the cookies are still hot. Cool on the pan for 10 minutes then remove to wire rack until completely cold. Store in an air tight container for up to a week, or in the freezer for up to a month.