Heat oven to 350°F. Place miniature paper baking cup in each of 24 mini muffin cups.
For each cookie, shape 2 teaspoons dough into ball; place 1 ball in each muffin cup; press thumb into center of each to make indentation.
In small bowl, beat powdered sugar and cream cheese with spoon until smooth; stir in vanilla until blended. In pint-size resealable food-storage plastic bag, place cream cheese filling. Cut small opening diagonally across bottom corner of bag. Pipe about 1 teaspoon filling into each indentation.
Bake 9 minutes or until toothpick inserted in cookie (not filling) comes out almost clean. Cool completely before removing from muffin cups. Store in airtight container, refrigerating any remaining cookies after 24 hours.