In the bowl of a food processor fitted with the blade attachment, pulse cookies to a fine grind. Add cream cheese and pulse to form a dough. Transfer to a large bowl. Shape into 1-inch balls and freeze for 1 hour.
Working in batches, dip balls in melted candy melts. Transfer to a baking sheet prepared with parchment paper. Add sprinkles. Refrigerate in an airtight container for up to 3 days.