Mix the room temperature cream cheese, marshmallow fluff, powdered sugar, and vanilla extract in a bowl until smooth. Scoop 1-tablespoon portions onto a parchment paper lined plate or tray and chill in the freezer until firm.

Preheat your oven to 350°F (convection). In a stand mixer fitted with a whisk or paddle attachment, beat the room-temperature butter and granulated sugar for 1–2 minutes, until pale and off-white. Add the egg and vanilla extract and mix until fully combined.

Add the all-purpose flour, baking powder, and baking soda. Mix on low speed or fold gently just until combined. Divide the dough into three equal portions and dye one orange, one purple, and one green.

Scoop 1 tablespoon of each color of dough, press together, and flatten in your palm. Place a frozen marshmallow cheesecake ball in the center, then fold the dough around it until sealed. Roll the dough ball in granulated sugar.

Place cookie dough balls onto a parchment paper lined baking sheet, spacing evenly. Bake for 13–14 minutes, until the edges are set and the centers are just soft.

For perfectly round cookies, immediately swirl a round bowl, cup, or cookie cutter around each cookie while warm. Let cookies rest on the baking sheet for about 10 minutes before transferring.

Enjoy fresh, or store in a chilled environment for up to 8 days.