In a chilled bowl, add the whipping cream and whip until it begins to get frothy. Add the powdered sugar and vanilla extract and whip again.
While whipping on medium speed, add the softened cream cheese by the spoonful until it's combined and whipped to medium peaks.
Line your chilled loaf pan with plastic wrap (make sure it's a long piece so it has an overhang), and add a layer of cream at the bottom. I added about ½ cup. Quickly dip each cookie into the milk and layer them on the whipped cream.
Add another layer of cream, followed by a layer of milk-dipped cookies. Continue to layer the cream and cookies.
If your cookies are small and there's space in between the cookies, feel free to break some cookies to fit them into the empty spaces.
Once your loaf pan is full (or you've run out of cookies), use the plastic wrap to cover the cake and put it in the fridge to chill for at least 12 to 24 hours.