Preheat oven to 200 C or 400 F. Line a large baking tray with baking paper.
To make the cream cheese mixture, place cream cheese, sugar and vanilla extract in a bowl, and beat until combined. Set aside.
To make egg wash, combine together egg and milk in a bowl. Set aside.
Place thawed puff pastry sheets on a flat work surface, Cut into 6 equal rectangles.
Transfer pastry sheets to the baking tray.
Spread cream cheese mixture in the middle of the pastries, leaving 1-inch gap on the edges.
Brush the edges with egg wash.
Bake for about 20 25 minutes or until the edges are puffed and golden.
Serve warm.