HEAT oven to 375 degrees F.
BEAT together sugar, brown sugar, shortening and peanut butter until blended. Add eggs, milk and vanilla. Beat well. Stir together flour, baking soda and salt. Add to peanut butter mixture. Beat well. Shape into 1-inch balls. Roll in sugar. Place on ungreased cookie sheet.
BAKE 7 minutes. Remove from oven. Using the back of a teaspoon, make a rounded indentation in top of each cookie. Fill each with about 1/2 teaspoon jelly. Bake an additional 2 minutes. Remove to wire rack to cool.