Cream together the butter or margarine, peanut butter and sugars until light and fluffy. Mix in the egg, vanilla and milk.
Stir in the flour, baking soda, salt and oats just until combined.
Refrigerate dough for an hour to make handling easier, if you have the time. (This is optional.)
Roll about a tablespoon of dough into ball and place on a cookie sheet. When the cookie sheets are full, make an indentation with your thumb in each ball and fill with jam.
Bake at 350 degrees for 15 to 18 minutes, until golden brown.
Cool on a wire rack. Enjoy!