Heat oven to 350°F. In large bowl with electric mixer, beat sugar and butter on medium speed until light and fluffy. Beat in vanilla and egg until well blended. Add flour and baking powder; beat on low speed until dough forms.
Divide dough into 4 equal portions. On lightly floured surface, shape each portion into 12x3/4-inch roll; place on ungreased cookie sheets. With handle of wooden spoon or finger, make indentation about 1/2 inch wide and 1/4 inch deep lengthwise down center of each roll. Fill each with 2 tablespoons jelly.
Bake 15 to 20 minutes or until light golden brown. Cool slightly, 3 to 5 minutes. Cut each baked roll diagonally into 12 cookies; remove from cookie sheets.