Cyn, I use this little trick when making thumbprints, so I don't know why it won't work for you:
I assume (always a risk of making an "a$$ of u & me" as the professors would tell us in school) that you will be rolling your sugar cookies into a ball? If so, perfect. Then, whatever the baking time is--when there is 5 minutes left--pull them out, dent with the end of big wooden spoon and fill with jam. Then pop back into the oven. The sugar in the jam melts slightly and adheres to the cookie indention. This works so much better than adding a blob of jam after they're baked. I can even turn them upside down and the jam doesn't fall out.
Okay...not sure if that helped or answered your question. I'm cleaning my oven after an apple pie decided to overflow and drip/splatter/rock n' roll all over the inside. Smoke everywhere and now I'm spacey from the Easy-Off fumes.