First, add the cream cheese, butter, sugar and vanilla into a large mixing bowl. Using a hand mixer / whisk, beat well until mixed and fluffy.
Now, add the all purpose flour and baking soda to the mixture. Mix until it forms a dough. Do not over mix.
Transfer the dough onto a plastic wrap. Cover the dough completely with the wrap, shape it into a rough ball. Refrigerate the dough for atleast 1 hr.
While the dough is cooling, take the hard candies in a zip lock bag. Gently crush them with a hammer.
Preheat the oven to 350 F. Then, pull out the dough from the refrigerator and place it onto a floured surface. Roll the dough into about ¼ inch thick sheet. You can also cut the dough into manageable sized balls and then roll one at a time.
Using a large and a small cookie cutter, you can cut out the desired shapes.
Transfer the cookies to a parchment paper lined baking sheet. Fill the holes of the cookies with the crushed candy. Bake the cookies for 8 - 10 mins, until the are slightly golden on the edge. Pull out the cookies from the oven and leave them to cool on the baking sheet for 10 mins. Then transfer them to a cooling rack and cool completely.
Store in an airtight container and enjoy.