Using freestanding electric mixer fitted with paddle attachment, beat together butter, cream cheese and egg yolk in medium-size bowl until smooth; reserve egg white. Stir in flour and baking powder; mix until stiff dough forms. Cover with plastic wrap; refrigerate for 1 hour.
Heat oven to 350 degrees F.
In small bowl, lightly beat the reserved egg white.
Divide dough in half. On lightly floured surface, roll one half into 15 x 9-inch rectangle. With sharp knife, cut dough into fifteen 3-inch squares. Place 3 inches apart on ungreased baking sheets. Brush each square with egg white. If using wooden sticks, lightly press about 1-1/2 inches of the end into bottom center of each dough square. With sharp knife, cut the dough diagonally from each corner to within 1/2 inch of center of each square.
Sprinkle about 1 teaspoon red sugar over each square. Fold over alternate corners of square to center to form pinwheel; overlap dough at center, pushing down gently to seal in center. Press one M & M in center of each pinwheel. Repeat with remaining dough.
Bake in 350 degree F oven for 9 to 12 minutes or until cookies are set. Using a spatula, immediately transfer cookies to wire rack to cool. Store in airtight container at room temperature for up to 3 days. Makes 30 cookies.
Wooden dessert sticks available at NY Cake & Baking Supply, 800-942-253.