Preheat your oven to 350°F (175°C). Line two large baking sheets with parchment paper.
In a large bowl, use an electric mixer to beat the softened cream cheese, softened butter, sugar, and vanilla extract on medium speed until the mixture is light and smooth.
Add the flour and baking soda to the bowl. Mix on low speed until the flour is just incorporated and a soft dough forms.
Cover the bowl with plastic wrap and refrigerate the dough for at least 30 minutes to make it easier to handle.
Place the finely chopped pecans in a shallow bowl or on a plate.
Scoop the chilled dough and roll it into 1-inch (2.5 cm) balls. Roll each ball in the pecans to coat the outside.
Arrange the coated balls about 2 inches apart on the prepared baking sheets. Use your thumb or the rounded back of a 1/2 teaspoon measuring spoon to gently press an indentation into the center of each cookie.
Bake for 10 minutes. The cookies will look pale and slightly puffed.
Remove the cookies from the oven. Carefully spoon about 1/2 teaspoon of raspberry preserves into each indentation. Return the baking sheets to the oven and bake for an additional 8 to 10 minutes, or until the edges are lightly golden brown.
Let the cookies cool on the baking sheets for 5 minutes before transferring them to a wire rack to cool completely.