In the bowl of your mixer, add the cheese, sugar, eggs, vanilla extract and baking soda and salt. Mix it all until it's well incorporated and then add the flour and continue mixing. You will notice that the mixture is kind of sticky but don't add any additional flour.
Flour your table really well. Dump the donut mixture onto the floured surface and using lots of flour on your hands shape the dough into a ball. Cut the dough into 8 pieces, because this recipe will make 8 donuts and 8 donut holes. Take each piece and cut a little bit from it, this will make the donut hole. So now you should have 16 pieces of dough, 8 bigger ones and 8 smaller ones. Take the small pieces and roll them between your hands to form the little donut holes, flour your hands as necessary. Do the same thing with the bigger pieces, but flatten them out and using your finger just press in the middle and make a hole, to look like a donut. Alternatively you could roll out the entire dough and then use round cookie cutters to make the donuts, totally up to you.
Heat up the oil in a frying pan. Fry the donuts, 4 at a time, you don't want to crowd them in the frying pan.
Finish frying all the donuts.
Place the donut on a plate, add a couple big tablespoons of sour cream in the middle, then another big heaping tablespoon of some good jam then top it off with the donut hole.