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Cut the dough into nine 4-inch squares using a pizza cutter or a knife. After that, carefully push the corners of each square toward the center, then fold them inward by about 1 inch. This will ensure that they attach.
Spoon one spoonful of cream cheese filling into the middle of each puff pastry square using a tiny (1 tablespoon) cookie scoop.
Before brushing the egg wash over the edges of each pastry (and all the way around the filling), whip the egg and water in a small dish.
Preheat oven to 160 degrees and bake, flipping pan halfway through, for 16 to 18 minutes. Take it out of the oven and let it cool completely before frosting it.
To whip up the frosting, mix the powdered sugar, milk, and vanilla extract in a mixing dish. To avoid icing that is too thin, gently add the milk. Pour some glaze over every pie.
Notes:
The baking sheet is the ideal surface to shape and fill the danish. You may avoid the danger of wrinkling or toppling them by transferring them from the counter to the tray in this manner.