Preheat oven to 350°F. Line 2 baking sheets with parchment paper; set aside.
In large bowl, beat butter, sugar and salt until light. Beat in egg yolks, one at a time; beat in vanilla until combined.
In separate bowl, whisk flour and cocoa; stir into butter mixture until incorporated. Roll dough, 1 level tbsp at a time, into balls.
Whisk egg whites and water until frothy. Place walnuts in a shallow dish. Using fork, dip each ball into egg whites, then into nuts to coat. Place 2 in. (5 cm.) apart on prepared pans. Press thumb into centres to make wells.
Bake for 10 minutes. Press centres with bottom of wooden spoon and fill with scant ½ tsp jam. Return to oven and bake until edges are golden, 3 to 5 minutes. Or spoon ½ tsp Nutella into centre of each cookie. Garnish with sprinkles (if using).
Or spoon ½ tsp Nutella or dulce de leche into centre of each cookie. Garnish with sprinkles (if using).