Preheat the oven to 400 degrees F (200 degrees C).
First defrost your puff pastry sheets according to the instructions on the package. It should take about 30 minutes to defrost.
Next make your cream cheese filling. Add cream cheese, granulated sugar, and vanilla extract to a mixing bowl or the bowl of a stand mixer. Whisk together until combined. Set aside.
Divide one of your puff pastry sheets into 9 equal pieces. Smear 1 tablespoon of cream cheese on each piece, leaving 1/4 inch of space between the filling and the edge of the pastry sheet. Follow with one tablespoon of the red bean paste.
Whisk the egg and use a brush to egg wash the edges of the pastry sheet. This will act as the glue between the first and second sheet.
Divide the second puff pastry sheet into 9 equal pieces. Place a piece on top of a pastry sheet with filling on top. Press the edges together. Repeat this process for all 9 pastries.
Use a knife to cut slits into the top of each pastry. This allows some air to escape and prevent the pastries from exploding. Feel free to trim the edges of your pastries for a cleaner look.
Egg wash the top of the pastries.
Bake for 20-22 minutes until golden brown on top.
Cool for 5 minutes before serving.