Beat butter with sugars in a large bowl for two minutes.
Add egg and mix to incorporate well.
If using powder red coloring, mix it with 2 tablespoons of the amount of milk in the ingredients.
Add the sifted dry ingredients (flour, cocoa powder, baking powder, baking soda, and salt) to the butter mixture in 2 parts, alternating with the milk and oil in 1 part. You can either sift them apart or have them measured and sift them directly, as I do. At some point it might look slightly curdled; that is fine if you still have the last part of dry ingredients to add.
Mix the red coloring with the vanilla, ensuring it’s all well incorporated, but don’t overbeat as it will toughen the cookies when baked.
Cover and refrigerate for about 2 hours or until it firms up. Or overnight.
Preheat the oven to 350°F (180°C).
Scoop portions of the red velvet dough and place on a parchment-lined cookie sheet, about an inch and a half apart. Or use a piping bag and pipe them on the prepared baking sheets.
Bake for 10 minutes. It might take a minute longer, but make sure they are not completely dry. They should be slightly soft.
Let cool completely on a wire rack.
Mound a teaspoon of cream cheese filling on half the cookies and top with the rest, pressing down lightly.
Keep at room temperature for a day and refrigerate leftovers, covered, for a few days.