Preheat oven to 300°F and line cookie sheets with parchment paper.
Using a mixer, beat together the butter, brown sugar, egg yolk, and vanilla until light and fluffy.
Gradually mix in the flour, food coloring, and cocoa powder until a soft dough forms.
Scoop dough into 1-inch balls, roll them in your sanding sugar, and place them on the cookie sheet.
Bake for 10 minutes.
While the cookies bake, beat together the cream cheese, egg yolk, sugar, salt, and vanilla until smooth.
After the first 10 minutes of baking, use the back of a round teaspoon to carefully create an indentation in the center of each cookie.
Spoon a teaspoon of the cheesecake filling into each indentation.
Bake for an additional 12 minutes until the filling is set.
Let cool completely before serving!