Heat oven to 350F. In large bowl, beat butter and sugar until light and fluffy. Add vanilla and egg; blend well. Stir in flour and baking powder; mix well.
Divide dough into 4 equal parts. On lightly floured surface, shape each part into 12x3/4-inch roll; place on ungreased cookie sheets. Using handle of wooden spoon or finger, make depression about 1/2 inch wide and 1/4 inch deep lengthwise down center of each roll. Fill each roll with 2 Tbsp. jelly.
Bake at 350F, for 15 to 20 minutes or until light golden brown. Cool slightly; cut diagonally into strips. Cool completely on wire racks. 4 dozen.