Peanut Butter and Jelly Cookies

Preheat oven to 375 degrees F. In a medium bowl, combine flour, baking soda and salt; set aside. In a large bowl, combine shortening, peanut butter, both sugars, milk and vanilla. With a hand-held mixer, beat on medium speed until just combined. Add egg and beat until incorporated. Gradually add flour mixture and mix until combined.
Roll heaping tablespoons of dough into balls with hands. Place on ungreased baking sheets and press into the centers with thumbs to form wells. In each well, place 1/2 teaspoon of jelly and 1/2 teaspoon of peanut butter. Bake in the preheated oven for 10-12 minutes. Let cool.