In a large bowl, with a hand mixer, combine the softened cream cheese, vanilla and sugar, until smooth.

Fold in the Cool Whip until thoroughly combined.

Add the crushed Oreo pieces into the cream cheese mixture, reserving some for the topping, and fold to combine.

Transfer the cream cheese filling to a piping bag. Set aside until ready to use.

In a small bowl, combine the powdered sugar and milk for the glaze.

Whisk to combine. Set aside.

To assemble, use the piping bag to pipe a large dollop of the cheesecake filling into each cone.

Insert one half of the Oreo and press to stick into the top of the cone.

Drizzle each cone with some glaze.

Sprinkle the remaining crushed Oreos over the top of each cone for an extra crunch.

You can also add some mini chocolate chips or drizzle with melted chocolate for an extra decadent touch.

Place the filled cones in the refrigerator for at least an hour to allow the cheesecake mixture to set.