Prepare the gingerbread cookie dough by combining dry ingredients and creaming with softened butter, sugars, and molasses. Add egg and vanilla. Chill the dough.
Make the cheesecake filling by creaming softened cream cheese with sugar, egg yolk, and vanilla extract.
Scoop cookie dough, create a well, and fill with cheesecake filling.
Bake at specified temperature until edges are set and centers are slightly soft. Rotate baking sheet halfway through.
Cool completely before serving.