1. In the bowl of an electric mixer fitted with the paddle attachment, beat the butter and cream cheese on medium speed until light and fluffy, 3 to 4 minutes, scraping down the sides of the bowl. Add ½ cup granulated sugar and ¼ teaspoon salt; beat until combined and fluffy, about 3 minutes. Add the egg yolks, one at a time, beating to combine after each. With the mixer on low speed, beat in flour to combine. Mix in vanilla.
2. Turn out the dough onto a lightly floured work surface. Divide into three equal pieces, and shape into flattened disks; wrap each in plastic. Refrigerate at least 1 hour or overnight.
3. Preheat the oven to 325°F, with racks in the upper and lower thirds. Line three baking sheets with parchment paper; set aside. In food processor, pulse together the walnuts, remaining ¼ cup granulated sugar, the cinnamon, and pinch of salt until finely ground; set aside. On a lightly floured work surface, roll out one disk of dough into a 10-inch round about ¼ inch thick. Brush the top evenly with melted jelly. Sprinkle with a third of the walnut mixture and a third of the currants. Using the rolling pin, gently roll over the round to press the filling into the dough.
4. Using a pizza cutter or sharp knife, cut the round into 16 equal wedges. Beginning with the outside edge of each wedge, roll up to enclose filling. Place about 1 inch apart on the prepared baking sheets. Repeat with remaining dough and filling ingredients. Lightly beat the whole egg; brush over tops, and sprinkle with sanding sugar.
5. Bake two sheets, rotating halfway through, until the cookies are golden brown, 20 to 25 minutes. Transfer to a wire rack to cool completely. Repeat with remaining baking sheet. Rugelach can be kept in an airtight container at room temperature for up to 4 days.