Preheat the oven to 375 F.

In a large mixing bowl, combine sugar, brown sugar, shortening, and peanut butter. Beat with an electric mixer until creamy. Beat in eggs, milk and vanilla.

In a separate bowl, stir together flour, baking soda and salt. Add to the peanut butter mixture and beat until blended.

Shape the dough into 1-inch balls. Roll in sugar. Place balls 2 inches apart on an ungreased cookie sheet.

Bake for 7 minutes. Remove from the oven. Using the back of a teaspoon, make a rounded indentation in the top of each cookie. Fill each with about 1⁄2 teaspoon jelly. Bake an additional 2 minutes. Remove to a wire rack to cool.