In a stand mixer fitted with whisk attachment or by hand, beat the butter and sugar together until smooth. Add the egg, milk, and vanilla and beat until mixed thoroughly.

In a separate bowl, mix the flour, baking powder, and salt. Add the dry mixture to the wet mixture until incorporated. If the dough seems too wet still, add additional flour one tablespoon at a time.

Chill the dough for at least one hour or up to 24 hours.

Beat the cream cheese and sugar together. Add the heavy cream, vanilla, and shredded coconut until combined.

Dust your work surface with flour to keep the dough from sticking. I like to cut dough in half and roll out in batches. Roll out the dough to 1/4- to 1/2-inch thick. Using a round cookie cutter, cut out and place the dough onto a baking sheet lined with Gefen Parchment Paper or silicone baking mat. To keep the dough from sticking to your cutter, dip cookie cutter in flour.

Fill each round with half a teaspoon cream cheese filling. Pinch up the dough to form a triangle. Pinch dough very tightly to ensure they do not open. Top cookies with additional shredded coconut if desired. Place cookies on a baking sheet lined with parchment or a silicone baking mat. 

Repeat with remaining dough, putting scraps back into dough three or four times until all the dough has been used. If dough becomes too soft, pop into the freezer for five minutes to chill slightly.

Preheat oven to 400 degrees Fahrenheit.

Place cookies in freezer for 10 minutes. This step will ensure the cookies don’t spread too much or open during the process of baking.

Bake for seven to nine minutes, or until cookies are just golden around the edges. Allow to cool completely on a wire rack.