Preheat your oven to 400°F (200°C).

Roll out the puff pastry on a lightly floured surface until it's about 1/4 inch thick. Cut the pastry into 4x4 inch squares.

In a mixing bowl, blend the softened cream cheese, sugar, cherry filling, and vanilla extract until smooth and creamy.

Place a spoonful of the cream cheese filling in the center of each pastry square. Fold the corners over the filling to create a pocket, pinching the edges to seal.

Beat an egg and brush a light coat over the top of each assembled Danish.

Bake the Danishes on a parchment-lined baking sheet for 20 minutes or until golden brown.

Let the baked Danishes cool for a few minutes on a wire rack before serving.