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

Roll out the puff pastry on a floured surface to about 1/8 inch thick.

Cut the dough into squares and place a spoonful of the cheese mixture in the center of each square.

Fold the corners of the dough over the filling to create a pocket.

Place the assembled pastries on a baking sheet and brush with beaten egg. Bake in a preheated oven at 375°F for 25 minutes or until golden brown.