Heat oven to 375°F. In large bowl, stir cookie mix, flour, melted butter, lemon peel, orange peel, vanilla and egg until soft dough forms.
Roll dough into 1-inch balls; place 2 inches apart on ungreased cookie sheet. Using thumb or handle of wooden spoon, make indentation in center of each cookie. Spoon about 1/4 teaspoon preserves into each indentation
Bake 7 to 9 minutes or until edges are light golden brown. Cool 2 minutes; remove from cookie sheet to wire rack. If desired, sprinkle with coarse sugar. Cool completely. Store tightly covered at room temperature.