Preheat oven to 375°F (190°C). Line baking sheets with parchment paper.

Make the caramel filling: In a saucepan, combine sweetened condensed milk, butter, brown sugar, and heavy cream. Simmer, stirring constantly, until smooth. Cool completely.

Make the cookie dough: Cream together butter and sugar until light and fluffy. Beat in eggs, then vanilla. Whisk together flour, baking soda, and salt. Gradually add dry ingredients to wet ingredients, mixing until just combined.

Roll dough into 1-inch balls. Place a teaspoon of cooled caramel filling in the center of each ball. Roll dough around filling to enclose it.

Place cookie balls onto prepared baking sheets, leaving space between. Bake for 10-12 minutes, or until edges are golden brown.

Let cool on baking sheets for a few minutes before transferring to a wire rack to cool completely.

Make the cheesecake filling (optional): Beat together cream cheese, sugar, and vanilla until smooth. Once cookies are cool, frost with a dollop of cheesecake filling.