In a large bowl beat cream cheese until fluffy using an electric hand mixer. Beat in sweetened condensed milk and vanilla pudding mix. Add in vanilla and slowly add in milk while continually mixing until combined. Fold in mix in cool whip. Refrigerate to set up for a few minutes.
In a 9 x 13 baking dish, line bottom with a single layer of chessmen cookies. Place bananas on top of cookies evenly. Spoon half of the vanilla pudding mixture over bananas evenly. Place another layer of bananas on top of mixture and spoon rest of mixture evenly over bananas.
Top with rest of cookies all facing you. Chill in refrigerator for 1-2 hours. Enjoy.
