Preheat the oven to 375°F (190°C).

Roll out the puff pastry on a lightly floured surface to smooth out creases.

In a mixing bowl, combine the softened cream cheese, granulated sugar, vanilla extract, egg yolk, and milk. Mix until smooth and creamy.

Cut the puff pastry into squares (about 4x4 inches).

Place a spoonful of the cream cheese filling in the center of each square.

Fold the corners of the pastry over the filling to create a diamond shape.

Brush the tops with the egg wash mixture (beaten egg and water).

Place the assembled danishes on a baking sheet lined with parchment paper.

Bake in the preheated oven for 20 minutes or until golden brown.

Remove from the oven and let cool slightly before serving.