Step 1: Prepare the Dough

1. In a large mixing bowl, cream together the softened butter and granulated sugar until light and fluffy.
2. Add the eggs one at a time, beating well after each addition. Then mix in the vanilla extract.
3. In a separate bowl, whisk together the all-purpose flour, baking powder, and salt.
4. Gradually add the dry ingredients to the wet mixture, alternating with the milk. Mix until just combined.
5. Cover the dough with plastic wrap and refrigerate for at least 30 minutes to firm up.

Step 2: Prepare the Cheesecake Filling

1. In a medium bowl, beat the cream cheese until smooth.
2. Add the granulated sugar, vanilla extract, and egg yolk. Continue to beat until fully incorporated and creamy.
3. Chill the filling in the refrigerator for about 10-15 minutes to firm up slightly.

Step 3: Assemble the Cookies

1. Preheat your oven to 350°F (175°C) and line a baking sheet with parchment paper.
2. Take the chilled dough and roll it into 1.5-inch balls.
3. Make an indentation in each dough ball with your thumb and spoon approximately 1 teaspoon of the cheesecake filling into the center.
4. Carefully fold the dough over the filling to seal it, then roll the filled dough ball gently to smooth it out.

Step 4: Bake the Cookies

1. Place the filled dough balls onto the prepared baking sheet, spacing them about 2 inches apart.
2. Bake in the preheated oven for 10-12 minutes, or until the edges are lightly golden.
3. Remove from the oven and allow the cookies to cool slightly on the baking sheet.

Step 5: Coat with Cinnamon Sugar

1. In a small bowl, mix together the granulated sugar and ground cinnamon for the coating.
2. While the cookies are still warm, roll each one in the cinnamon sugar mixture until fully coated.