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 10 to 12 minutes. Remove from oven. Cool 2 minutes. Make a depression in the center of each warm cookie with your finger or the back of a teaspoon.
Fill each depression with about 1/2 teaspoon jelly, jam or preserves. Cool completely.