Roll out on a floured surface, half at a time, to a 12x3-inch strip. Cut into 3x1-inch strips. Make a deep groove lengthwise down the center of each cookie with handle of knife, keeping ends closed (i.e., the groove stops a little before the short end of the cookie).
Place on ungreased cookie sheets. Fill groove with jam or jelly, using about 1/4 cup overall.