Mix flour, sugar and yeast in a medium bowl. Cut in the butter till mixture resembles a coarse meal.
Add cream cheese and egg yolks and mix well. The dough should look a bit crumbly.
Form the dough into a ball and place in a bowl covered with plastic wrap. Let the dough chill in a fridge for at least 2 hours.
Run walnuts through a grinder or blend in a blender. Be sure not to overmix them or else they will turn into a nut butter!
Combine walnuts, powdered sugar and jam all together until the texture is creamy. Don't be worried if your filling doesn't look just like mine. Depending on the jam you use, your filling might be a different color and have a slightly different texture.
Roll the dough in small pieces. Roll it into a thin, long rectangular shape. Apply the filling onto the dough and roll it into a long roll.
Cut the roll into two-inch pieces. Place them on a lined baking sheet, leaving space between the rolls.
Bake the pastries at 350°F for 30-40 min, or until golden and puffed.