01 - Preheat oven to 350°F. Line two baking sheets with parchment paper.
02 - Whisk together flour, cocoa powder, baking soda, and salt in a medium bowl.
03 - Beat butter and sugar in a large bowl until light and fluffy, about 2 minutes.
04 - Mix in egg yolk, milk, vanilla extract, and red food coloring until fully incorporated.
05 - Gradually blend dry ingredients into wet mixture until just combined.
06 - Whisk cream cheese, powdered sugar, and vanilla extract in small bowl until smooth.
07 - Roll dough into 1-inch balls, placing on prepared baking sheets 2 inches apart.
08 - Press thumb or teaspoon back into center of each ball to form a deep well.
09 - Spoon approximately 1/2 teaspoon cream cheese filling into each indentation.
10 - Bake for 11 to 13 minutes until edges are set.
11 - Let rest on baking sheet for 5 minutes, then transfer to wire rack to cool completely.