1. To make the cookies: Preheat the oven to 300 degrees F.Beat the butter, brown sugar, and 1 egg yolk (reserve the other yolk for the filling) in a large bowl with and electric mixer until fluffy. Beat in the vanilla.
2. Add the flour, food coloring, and cocoa and mix until a soft dough forms.
3. Roll the dough into 36 balls.
4. Place the egg whites in a shallow bowl and beat them lightly with a fork.
5. Place the granulated sugar in a separate shallow bowl.
6. Roll each dough ball in the egg whites and then in the sugar.
7. Place the balls 2 inches apart on an ungreased baking sheets. Make an indentation in the top of each cookie with your thumb.To make the filling: Beat the cream cheese, sugar, the reserved egg yolk, salt, and vanilla in a bowl with an electric mixer until smooth.
8. Bake the cookies for 10 minutes.
9. Removed them from the oven and use the handle of a wooden spoon to deepen the indentation (be careful not to break them.) Fill each cookie with about 1 teaspoon of the filling, then return the cookies to the oven and bake until the cookies and fillings are set, about 12 minutes more. Cool for 2 minutes on the baking sheets, then transfer to a rack to cool completely. Store the cookies in the refrigerator. Allow the cookies to come to room temperature before serving.