Prepare a cookie sheet with parchment paper and set to the side.
In a large bowl with a hand mixer or in a bowl of a stand mixer with a paddle attachment, beat together the sugar, oil, egg, juice, vanilla, and salt, for about 2 minutes on medium speed. The mixture should look a little shiny when fully mixed.
Slowly add in the flour at a low speed. Once the flour starts to incorporate, turn the mixture on to a medium speed, and mix until fully combined, scrapping down the bowl as needed.
Form the dough into a large ball and tightly wrap it in plastic wrap. Place the dough in the refrigerator to chill for 1 hour.
After 1 hour in the refrigerator, take the dough out and let it thaw for 5 minutes. While the dough is thawing, preheat the oven to 375 and prepare your fillings. Use a bench scraper or a knife to divide the dough into four equal sections. When not using the section, return the dough to the fridge so it doesn't dry out. Roll out your dough to about ⅛ inch thick on a floured surface.
Cut the dough into 3-inch circles using a cookie cutter. You can use any size here that you would like, but 3 inches tends to give you a good fold. (You can also use the top of a glass if you don't have a cookie cutter.)
Fill the cookie with your jam or filling. Use about 1 tablespoon of filling. Then, pick one edge and pinch it into a triangle. Then, pick up the two remaining sides and pinch the dough into two triangles. The cookie should form into a three-cornered cookie. If the cookies look a little unstable place them in the freezer for about 10 minutes before placing them in the oven. Repeat the process with the remaining dough.
Bake cookies in the oven for about 15-20 minutes. They should be golden brown on the edges when ready. Let cool completely before enjoying.