HEAT oven to 350ºF.
PLACE 1 cookie in each of 24 paper-lined mini muffin pan cups. Beat cream cheese, sugar and vanilla with mixer until blended. Mix in peanut butter, chocolate and milk. Add egg; beat on low speed just until blended. Spoon over cookies.
BAKE 13 to 15 min. or until centers are almost set.
COOL 1 hour before removing from pan. Refrigerate 2 hours.