Preheat oven to 425º
Combine cream cheese, sugar, and vanilla extract
Beat until smooth
Unroll puff pastry on a parchment lined baking sheet
Cut into 16 rectangles, and separate rectangles, moving some to a separate baking sheet if necessary, so that you have at least ½ inch of space between each
Spread a tablespoon of cream cheese mixture onto the center of each pastry, leaving a ½ inch edge (optional: score the rectangles with a knife half an inch from the edges all the way around so you have a guide for how far to spread the cream cheese)
Fold over the edges diagonal to each other, making little triangles. Gently press the edges closed.
Beat egg and milk together, and brush edges of pastry with egg wash
Bake in preheated oven for 15 minutes, until golden brown, with flaky edges