Prepare the Cheesecake Filling

1. Mix the Filling: In a medium bowl, beat together the softened cream cheese, granulated sugar, vanilla extract, egg yolk, and flour. The mixture should be smooth and creamy. Set it aside while you prepare the cookie dough.

Make the Cookie Dough

1. Preheat the Oven: Preheat your oven to 350°F (175°C) and line a baking sheet with parchment paper.
2. Combine Dry Ingredients: In a medium bowl, whisk together the flour, baking soda, salt, and cinnamon. Set aside.
3. Cream the Butter and Sugar: In a large bowl, beat the softened butter and sugar until light and fluffy. This should take about 2-3 minutes.
4. Add the Wet Ingredients: Add the egg and vanilla extract to the butter mixture and beat until combined.
5. Incorporate the Dry Ingredients: Gradually add the dry ingredients to the wet mixture, alternating with the milk. Mix until the dough comes together.

Assemble the Cookies

1. Form Dough Balls: Take a tablespoon of dough and roll it into a ball. Press your thumb into the center to create a small indentation.
2. Fill with Cheesecake: Spoon about 1 teaspoon of the cheesecake filling into the indentation. Be careful not to overfill it, as you want to be able to seal the dough around the filling.
3. Seal the Cookie Dough: Carefully pinch the dough around the filling to seal it, rolling the ball gently between your hands to smooth out the edges.
4. Coat in Cinnamon-Sugar: In a small bowl, mix together the cinnamon and sugar. Roll each filled cookie dough ball in the cinnamon-sugar mixture until fully coated.
5. Bake: Place the cookies on the prepared baking sheet, spacing them about 2 inches apart. Bake for 10-12 minutes or until the edges are golden and the cookies are firm to the touch.

Cool the Cookies

1. Let Them Rest: Allow the cookies to cool on the baking sheet for 5 minutes before transferring them to a wire rack to cool completely. This helps them set and firm up.