Step 1: Preheat your oven to 350°F (175°C). Line a baking sheet with parchment paper.
Step 2: In a medium bowl, beat the softened cream cheese with granulated sugar until smooth and creamy. Add the egg yolk and vanilla extract, and beat until well combined and no lumps remain.
Step 3: Separate the King's Hawaiian rolls without pulling them completely apart. Using your thumb or the back of a spoon, gently press down in the center of each roll to create a well or indentation. Be careful not to press all the way through the bottom.
Step 4: Spoon approximately 1-2 tablespoons of the cream cheese filling into the center of each well. Don't overfill, as it will puff up slightly during baking.
Step 5: If desired, brush the exposed edges of the rolls with a little milk for a golden finish.
Step 6: Bake for 20-25 minutes, or until the rolls are golden brown and the cheesecake filling is set and slightly puffed. The filling may still be a little jiggly in the center, which is normal.
Step 7: Remove from the oven and let cool on the baking sheet for 5-10 minutes before transferring to a wire rack to cool completely. This allows the filling to fully set.
Step 8: Once cooled, dust generously with powdered sugar before serving. Enjoy!