In the bowl of a stand mixer, combine the softened cream cheese, vanilla and sugar. Cream until smooth
Fold in the Cool Whip until thoroughly combined.
Add in the crushed Oreo pieces and fold to combine.
Transfer the cheesecake 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.
Immediately sprinkle with additional Oreo crumbs.
Store covered in the fridge until ready to serve.