I have been practicing pepper jelly and have more jars of it than I will use in a lifetime right now (guess everyone I know will be getting one for Christmas!). Finally got it right and it is great in these thumbprint cookies.
Once I used a store bought brand of pepper jelly and it wasn't a good one and no one liked the cookies because the jam was sub standard!
REC: Jalapeno Jelly (no other types of peppers used in it)
This is the one that is in the Ball canning book. It works perfectly--unless you have old packets of liquid pectin in your pantry that have mostly solidified. If this is the case, melt them separately first and then add to the pot. I learned this the hard way. My first batch was overcooked and I think it is because I was trying to melt the pectin in the pan of peppers and sugar.
I bought actual HOT jalapenos from the farmers market. Makes a nice hot jelly which is mellowed out on the cookies.