1. Preheat your oil in a deep fryer or heavy-bottomed pot to 350°F (175°C). Use a thermometer for accuracy—safety first, especially when frying!
2. In a medium bowl, beat the softened cream cheese, granulated sugar, and vanilla extract together until smooth and creamy. Add the egg yolk and mix just to combine.
3. In a separate bowl, whisk together the flour, baking powder, and salt.
4. Cut the cold butter into the dry ingredients using a pastry cutter or your fingers until the mixture resembles coarse crumbs.
5. Add the milk gradually, stirring until a soft dough forms. If it feels too sticky, sprinkle a little more flour.
6. Turn the dough onto a lightly floured surface and knead gently until smooth, about 2 minutes. Wrap it in plastic wrap and chill for 30 minutes.
7. Roll the dough out to about 1/8 inch thick. Using a round cutter (about 3 inches in diameter), cut out circles.
8. Place a teaspoon of the cream cheese mixture in the center of each dough circle.
9. Carefully add a small tuft of cotton candy on top of the cheesecake filling—this will create a delightful surprise when fried.
10. Fold the dough over the filling and cotton candy, pinching the edges securely to seal the bombs completely. You might want to dampen the edges with a bit of water to help them stick.
11. Carefully lower the bombs into the hot oil, frying in batches to avoid overcrowding. Fry for 2-3 minutes, turning occasionally, until golden brown and crispy.
12. Remove the bombs with a slotted spoon and place them on a paper towel-lined plate to drain excess oil.
13. Once slightly cooled, dust with powdered sugar if desired, and serve warm for the best experience.

One little trick I learned while working in Italian kitchens is to trust your dough’s feel and adjust as you go. The dough should be pliable but not sticky, so keep a little flour handy. Also, frying in small batches keeps the temperature steady and ensures a perfect crisp every time.