Take the frozen puff pastry out of the package and let it rest on the counter for about an hour. You need it to thaw out, and doing it naturally is the best way.
When you are ready to prepare your palmiers, lightly coat a surface with a sprinkling of flour to keep the pastry from sticking. Roll the puff pastry so it's three inches longer on each side. You're just making the rectangle bigger.
Melt your jam on Medium-Low heat on the stove in a small saucepan. If you are using a combination of jams, you can heat them together. Or you can make half of the cookies one flavor and half another flavor. You are just thinning the jam by heating it.
Spread the jam with a pastry brush across the entire surface of the pastry. Try to make sure you don't have any big lumps in your jam. Remove them if you do.
Now, starting at one of the shorter sides gently roll your pastry toward the center, stopping when you get to the middle. Do the same from the other side. You're rolling both sides so they meet in the center. It's like you're making an old-fashioned scroll. Moisten your fingers and run your wet fingertips between where the two rolls meet and gently press the rolls together. Wetting the center helps them stick together. Take a sharp knife and gently scissor cut off any uneven ends on the scrolls.
Lightly grease your cookie sheet. Scissor cut the double scroll of cookie dough into three-eighth inch slices and place them on the cookie sheet. When you pick them up, place your knife edge underneath to steady them and transfer them to the sheet. They will look like two little baby jellyrolls next to each other. Leave a couple of inches between each cookie. Cut the rest and place them on the sheet. Now you can lightly sprinkle them with an equal mixture of cinnamon and sugar if you want your cookies to have a sugary top. They are plenty sweet without this effort, but some like their cookies to have a sugary, crunchy top.
Bake at 375 degrees for 13 to 15 minutes until very lightly golden. Let rest on the cookie sheet when you take them out, but only for a minute. The jam starts to caramelize quickly and they will start to stick to the sheet. With a sharp spatula, remove them carefully from the cookie sheet to a different surface to continue cooling.
Serve lightly warm or room temperature. These are best served very soon after baking. They will keep but they don't improve with age.