Creating these delicious Churro Cheesecake Donut Cookies is easy if you follow these steps:

1. Prepare Cheesecake Filling: In a mixing bowl, blend the softened cream cheese, powdered sugar, vanilla extract, and milk until smooth. Set aside to chill in the refrigerator.

2. Preheat Oven: Preheat your oven to 350°F (175°C) and line a baking sheet with parchment paper.

3. Mix Dry Ingredients: In a separate bowl, whisk together the flour, baking powder, baking soda, and salt. Set aside.

4. Cream Butter and Sugar: In a large mixing bowl, cream the softened butter and granulated sugar until light and fluffy.

5. Add Egg and Vanilla: Beat in the egg and vanilla extract until fully combined.

6. Combine Mixtures: Gradually add the dry ingredients to the wet ingredients, mixing until just combined. Do not overmix.

7. Chill Dough: Cover the dough with plastic wrap and chill in the refrigerator for about 1 hour.

8. Shape Cookies: Once chilled, scoop out the dough and flatten it in your palm. Place a small spoonful of the cheesecake filling in the center and fold the dough around the filling to seal.

9. Roll in Cinnamon Sugar: Roll the stuffed cookie dough ball in a mixture of granulated sugar and ground cinnamon until fully coated.

10. Bake: Place the cookies on the prepared baking sheet and bake for 20-25 minutes, or until golden brown.

11. Cool: Remove from the oven and allow to cool on the baking sheet for a few minutes before transferring to a wire rack to cool completely.