With a food processor, blender, or mortar and pestle grind up about 2 cups of dry Captain Crunch. This should cover what you need for the entire recipe.
Start your dough by using the paddle attachment on your stand mixer (or handheld whisk). Cream your butter, then add in your sugar. Cream together until well creamed, 4-6 minutes. Add eggs and mix until combined. Then add in vanilla thoroughly.
In a separate bowl, mix the flour, ¼ cup crushed Captain Crunch, baking powder, and salt. Slowly add into the wet ingredients on a low-medium speed. Once combined, add the milk and stir until your dough has formed.
Place dough into the fridge while you make the filling (but not for too long as it becomes hard to handle.
To make your filling use your electric mixer with the whisk attachment (or whisk by hand) and whisk your heavy cream on medium-high until your cream has peaked. Then on a low speed slowly add in 1 cup of your cereal crumbs. Mix until well combined, almost looking like rice krispy treats before they set.
Preheat your oven to 350° F and remove your dough from the refrigerator.
On a lightly floured surface roll out your dough about ⅛" thick. Using a circle cookie cutter or a circular glass cut your dough into circles.
Using a teaspoon or a ½ Tablespoon, scoop a little of the filling and place it in the middle of the circle of dough. Fold up the edges of the dough to make a triangle and pinch the edges together. Lightly sprinkle any extra cereal crumbs on top.
Using a floured or parchment lined baking sheet, place cookies down, face up and about 1-2 inches apart. Bake for 10-12 minutes or until corners are golden brown.
Remove from the oven and let cool on the sheet for about 3-5 minutes. Then move to a cooling rack. You can also sprinkle with powder sugar.