"We made this for the kids' Halloween party; they loved it. Kids also like this without the cone and placed on top of an chocolate cookie crust. Pudding can be altered to whatever flavor you like. We have only tried banana and chocolate. Before starting, have kids scrape all the cream off of the cookies as it will go in the mix. Place cookie halves in a resealable plastic bag and let the kids crush them. Double-bagging is preferred; kids tend to love smashing things so much the bag may get a few holes."
Take the sandwich cookies apart, scrape the cream filling into a bowl, and place the cookie halves into a large resealable plastic bag. Crush cookies into crumbs using a rolling pin.
Whisk pudding mix and milk in a large bowl until smooth; continue whisking for 2 minutes. Allow to stand for 5 minutes to thicken. Beat sandwich cream filling and whipped topping into pudding until smooth. Beat cream cheese into pudding mixture until no longer lumpy, 2 to 3 minutes. Mix cookie crumbs into pudding mixture.
Spoon the pudding mixture into a large resealable plastic bag, squeeze out the air at the top, seal the bag, and cut a small corner off one bottom corner of the bag.
Set cookie cones upright in a large baking dish and squeeze the pudding mixture into the cones. Sprinkle a few candy worms on top of each cone. Freeze cones for 30 minutes to chill.