Preheat oven to 350 degrees F. Cream butter and sugar well in mixer.
Crack egg, add to butter and sugar and blend.
Mix in flour a little at a time.
When dough is thoroughly combined, remove from bowl and put onto your clean counter or pastry mat, or work on the rectangular cookie sheet you will bake on. Form a large ball.
Get a large knife and cut the ball into 4 even quarters.
Take one quarter at a time, use your hands to roll into a ball again. Then use your hands to roll it into a log about 10-12 inches long. Have your cookie sheet close by, the log should be about as long as the longer dimension of your cookie sheet.
When you have 4 logs all about the same length placed on your cookie sheet, use your thumb to gently press a well into the logs down the middle.
Fill the indent of each of the 4 logs with jam or preserves with a spoon. You dont need ithe jam laid on too heavy, or very thin. Perhaps aim to use 1/4 cup jam per log. You can choose whatever jam you have on hand- my family prefers cherry and blackberry. Sometimes I use orange marmalade. It's fun to have two or more different jam flavors.
Bake 14 minutes on metal pans or 18 on stoneware.
Allow to cool, do not remove from cookie sheet. You can put them in the refrigerator if you want to glaze sooner. After they are cool, use a zip lock bag to mix together the confection sugar and OJ. Squish it around with your fingers until it's smooth.
Cut a lower corner of the ziplock bag with scissors, just a tiny hole.
Squeeze the bag and drizzle the glaze over the whole cookie sheet with all 4 logs. Don't worry about it looking perfect, the glaze will disappear.
Before serving, use a sharp knife to cut up the cookies into 3/4 inch diagonals. You can cut across all 4 logs at once, keeping your cut lines about 3/4 inch apart. My logs usually end up yielding about 16 cookies each. Enjoy!