Preheat your oven so it has time to reach baking temperature.
Beat the egg yolks with the sugar and vanilla until they become a light, fluffy mixture, about 3 minutes.
Add the heavy cream and softened butter to the beaten yolks, making sure the butter is at room temperature and not fully melted.
Gradually add the sifted flour, baking soda and salt, mixing until you get a soft, uniform dough.
Transfer the soft, sticky dough to a pastry bag fitted with a wide tip, as it is too soft to shape by hand.
Pipe the cookies onto a baking sheet lined with parchment paper, forming small rosettes or logs of similar size.
For jam cookies, make small indentations in the center of each cookie with a damp fingertip or a wooden chopstick, then add a little strawberry jam into each well.
Bake the cookies at about 350°F (180°C) on convection mode for roughly 10 minutes, until the edges are lightly golden and the tops are set.
Remove the cookies from the oven and let them cool on the tray for a few minutes, then transfer to a wire rack to cool completely before serving.