HEAT oven to 350°F. Beat cream cheese, butter, sugar and vanilla with mixer until blended. Add flour, baking soda and pecans; mix well. Refrigerate 30 min.
SHAPE dough into 1-inch balls. Place, 2 inches apart, on baking sheets. Indent centers.
BAKE 10 min. Fill each cookie with about 1 tsp. preserves. Bake 8 to 10 min. or until golden brown. Cool on baking sheets 2 min. Remove to wire racks; cool completely.