HEAT oven to 375 degrees F.
COMBINE brown sugar, peanut butter, shortening, milk and vanilla in bowl of electric mixer; beat at medium speed until well blended. Beat in egg just until blended.
COMBINE flour, baking soda and salt in medium bowl. Beat into peanut butter mixture at low speed just until blended.
SHAPE dough into 1-inch balls. Roll in granulated sugar. Place 2 inches apart on ungreased baking sheets.
BAKE 6 minutes. Immediately press centers of cookies with back of measuring teaspoon. Bake 3 minutes longer or until cookies are set and just beginning to brown. Cool 2 minutes on baking sheet.
SPOON preserves into center of each cookie. Place on cooling rack to cool completely.