PREHEAT oven to 325ºF. Beat cream cheese, powdered sugar, butter and vanilla with electric mixer on medium speed until well blended. Add flour and baking soda; mix well. Cover. Refrigerate 1 hour.
ROLL dough to 1/8-inch thickness on lightly floured surface. Cut into 66 cookies, using 2-inch festive cookie cutters. Sprinkle half of the cookies with colored sugar. Place all cookies, 2 inches apart, on ungreased baking sheets.
BAKE 12 min. or until lightly browned. Cool on baking sheets 1 min. Remove to wire racks; cool completely.
SPREAD bottom side of each of the plain cookies with about 1 tsp. marshmallow creme; cover with remaining sugar cookies, bottom-sides down, to form sandwiches. Drizzle with melted chocolate.