Preheat the oven to 375°F (190°C).

In a mixing bowl, combine the cream cheese, sugar, and vanilla extract until smooth.

Roll out the puff pastry and cut into squares.

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

Fold the corners of the pastry over the filling and seal.

Brush the tops with the beaten egg.

Bake for 20-25 minutes or until golden brown.