Preheat the oven to 400 degrees F and line cookie sheets with parchment paper. Place the cream cheese in a microwave-safe bowl and microwave for 30-60 seconds to soften. Then mix the walnuts, powdered sugar, lemon juice, and vanilla with the melted cream cheese.
Place the Pillsbury Sugar Cookie dough disks on the cookie sheets 2 1/2 inches apart and top each disk with a dollop of walnut filling approximately the same size as the dough.
Bake for 9-11 minutes, until the edges are just slightly golden, but the centers look a bit under-baked. The walnut filling will shift to one side while baking. Remove from the oven and immediately (while the cookies are still hot) use a spatula to fold the cookies in half over the walnut filling.
Allow the cookies to cool for 5-10 minutes, then dust liberally with powdered sugar. Store in an air-tight container until ready to enjoy!