To Make the Danish DoughIn a large bowl, whisk together the flour, sugar, yeast and salt.

Working quickly and using a pastry blender (or by hand), cut the butter into the flour mixture until it resembles coarse crumbs.

Whisk the eggs, milk and vanilla together in a small jug, then pour into the flour mixture and combine into a dough, handling as little as possible so as not to melt the butter. You want to see small pieces throughout. Shape into a small rectangle, wrap in plastic wrap and refrigerate for at least 3 hours or overnight.

On a well-floured surface, roll the dough into an 8 x 15 inch (20 x 28 cm) rectangle. Fold the dough in thirds, like a letter. The dough should now be an 8 x 5 inch (20 x 12 ½ cm) rectangle.

Re-flour your surface and orient the dough so an 8-inch edge is closest to you. Roll the dough away from you, maintaining the 8 inch (20 cm) width and until the 5 inch (12 ½ cm) length is extended to 15 inches (28 cm). Letter fold the dough again into an 8 x 5 inch (20 x 12 ½ cm) rectangle.

Repeat the rolling and folding one more time, then wrap with plastic wrap and chill for 1 hour.

Roll and fold the dough 3 more times as instructed above (for a total of 6 times), then wrap the dough and refrigerate for at least 2 hours and up to 2 days before using. (For longer storage, freeze for up to 2 months. Defrost overnight in the refrigerator.)

To Make the Cream Cheese FillingIn a bowl, beat cream cheese, sugar, egg yolk and vanilla extract until well blended. Place the mixture in a piping bag fitted with a large round tip. Place in the fridge until ready to assemble your danish.

Assemble and Bake the Cheese DanishLine a baking sheet with parchement paper and set aside.

On a floured surface, roll out the danish dough to a little more than 12 x 12 inch (30x30cm) square. and cut the dough into 9 squares.

Using a pizza cutter, cleanly trim the square to have clean edges. Then cut into 9 equal squares that are 4 inches x 4 inches. Place the squares of dough onto the prepared baking sheet and fold the corner of each square in towards the center. Press your finger into the center of the square to create a dent.

Pipe about 2 tablespoons of filling into the dent at the center of each square.

Cover the danishes with plastic wrap and let proof in a warm place until puffed, about 1 hour.

When the dough is proofed, heat your oven to 425°F (220°C).

Remove the plastic, then brush the dough with the egg wash and bake for 10 minutes.

Reduce the oven temperature to 375°F (190°C), rotate the pan, and bake for another 5-10 minutes, until the danishes are golden brown. Let cool on a wire rack.

These danishes are best the day they are made, but any leftovers can be stored in an airtight container in the refrigerator for up to 3 days. Re-crisp in a 300°F (150°C) oven for about 10 minutes.