Cut the chilli peppers lengthways and remove the seeds. Place in a bowl, cover with milk, and refrigerate overnight to reduce their heat.
Remove the chilli peppers from the milk and drain well. Fill each pepper half with cream cheese (optionally mix in finely chopped leftover cheese or additional fresh chilli peppers). Coat with flour, dip in egg ensuring full coverage, then coat with breadcrumbs.
Deep-fry at 170 °C (338 °F) for 4 to 5 minutes until golden. Drain on kitchen paper and serve hot with tomato salsa or sour cream.