Using a food processor, grind cookies to a fine powder.
With a mixer, blend cookie powder, cream cheese and vanilla extract until thoroughly mixed (there should be no white traces of cream cheese).
Roll into small balls and place on wax-lined cookie sheet. Refrigerate for 45 minutes.
Line two cookie sheets with wax paper.
In double boiler, melt milk chocolate. Dip balls and coat thoroughly.
With slotted spoon, lift balls out of chocolate and let excess chocolate drip off. Place on wax-paper-lined cookie sheet.
In separate double boiler, melt white chocolate. Using a fork, drizzle white chocolate over balls.
Store in airtight container, in refrigerator.