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 combined.
05 - Gradually blend dry ingredients into wet mixture until just incorporated.
06 - Whisk cream cheese, powdered sugar, and vanilla extract in a small bowl until smooth.
07 - Roll dough into 1-inch balls, placing 2 inches apart on prepared baking sheets.
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 cookies rest on baking sheet for 5 minutes, then transfer to wire rack.