In a mixing bowl, beat the cream cheese and 1 tsp. vanilla until fluffy. Stir in nuts; set aside. Cut bread into 1-1/2-inch slices; cut a pocket in the top of each slice. Fill each pocket with about 2 Tbsp. of cream cheese mixture. In another bowl, beat eggs, cream, nutmeg, and remaining 1/2 tsp. vanilla. Dip both sides of bread into egg mixture, being careful not to squeeze out the filling. Cook on a lightly greased griddle until golden brown on both sides. Place on an ungreased baking sheet; bake at 300 degrees for 20 minutes. Meanwhile, combine preserves and orange juice in a small saucepan; heat through. Drizzle over hot French toast. Yields about 8 servings.