Cream the cream cheese, butter, and sugar with an electric mixer on medium speed until blended and smooth.

Reduce the speed to low and gradually add the flour, beating until incorporated.

Divide the dough into three portions, and roll each portion out between two pieces of waxed or Gefen Parchment paper until it is an eighth-inch thick.

Without removing the paper, pile the sheets of dough onto a baking sheet and freeze them until firm, about 30 minutes.

Combine the chocolate and the condensed milk in a small saucepan over low heat, and stir until smooth.

Remove the pan from the heat and stir in the vanilla. Set the filling aside to cool to room temperature.

Preheat the oven to 350 degrees Fahrenheit. Line several baking sheets with Gefen Easy Baking Parchment Paper.

Remove the sheets of dough from the freezer one at a time.

Remove the paper and cut out the dough with a two and a half-inch round cookie cutter.

Reroll and cut out the scraps. (If it becomes sticky, return the sheet of dough, in the waxed paper, to the refrigerator to firm up.)

Brush each round with the beaten egg, and drop one level teaspoon of the filling in the center.

Pinch the cookies tightly in three places to form a triangle shape.

Place the cookies on the prepared baking sheets and bake, two sheets at a time, on the bottom third and top third oven racks, rotating the sheets from top to bottom and front to back halfway through, until the edges of the cookies are just beginning to brown, 18 to 22 minutes.

Let the cookies cool on the baking sheets set on wire racks. Repeat with the remaining dough and filling.

Optional – Sprinkle confectioner’s sugar over the cookies just before serving.