Line baking sheets with parchment paper.

In the work bowl of a food processor, pulse flour, sugar, baking soda, and salt until combined. Add butter, cheese, and walnuts, and pulse until just combined and butter is the size of small peas. Add egg yolk, and pulse until fully combined and a dough forms around blade.

Using a 1½-tablespoon spring-loaded scoop, scoop dough, and roll into 1-inch balls. Place 2 inches apart on prepared pans. Using your thumb, gently press a ½-inch-deep indentation into center of each ball. Spoon about 1 teaspoon (6.5 grams) preserves into each indentation. Freeze until firm, at least 15 minutes, or up to overnight.

Preheat oven to 375°F (190°C).

Bake until edges are golden brown, 10 to 13 minutes, rotating pans halfway through baking. Let cool on pans for 5 minutes. Remove from pans, and let cool completely on wire racks. Store in an airtight container for up to 3 days.