Roll out the puff pastry and use a cookie cutter to cut out circles to fit snuggly in a six hole muffin tin. Cut some smaller circles for your pie lids.
Beat the two cream cheeses and sugar together then add the eggs and fold in 5 of the chopped snickers bars. Add this mixture to the pastry bases then brush around the rim with egg wash and place the smaller circles on top. Brush with egg wash and then bake for 30 minutes.
Meanwhile, make the snickers sauce - melt two chopped snickers bars in the milk. Pour this over the pies and serve with ice cream.