Thaw rolls in 9x12 pan sprayed with cooking spray. When thawed, use a wooden spoon handle to open 1 inch holes in the center of each cinnamon roll.
In a mixer, beat cream cheese and sugar together, then add egg and vanilla and blend well. Drop spoonfuls of the cream cheese mixture into the cinnamon roll wells.
Allow to rise 30 minutes, then bake at 400 degrees for 20-25 minutes, until golden brown. Allow to cool 15 minutes then ice with included cream cheese icing.