Preheat oven to 350ºF and line a baking sheet with parchment paper. Whisk together the flour, baking soda, and salt until combined; set aside.
In the bowl of a stand mixer fitted with the paddle attachment, cream the butter, cream cheese, and both sugars together until lightened in color and creamy.
Beat in the egg and vanilla, followed by the pudding mix. Scrape down the sides of the bowl, then dump in the flour mixture. Beat until just combined. Stir in the Teddy Grahams, Hershey bars, and chocolate chunks by hand.
Scoop out a portion of dough about the size of a golfball, and make a well in the center of the cookie with your thumbs. Place 4 mini marshmallows into the well, then wrap dough around marshmallows. (Make sure no marshmallow is showing.) Place onto prepared baking sheet, leaving 2 inches of space between cookies. Repeat process with the rest of the dough and marshmallows.
Bake for 6 minutes, remove from the oven and push 3-4 mini marshmallows into the tops of the cookies. Return cookies to the oven for 3 more minutes.
Immediately after removing cookies from the oven, gently press more chocolate chunks and Teddy Grahams into the tops of each cookie, if desired.
Allow cookies to cool on baking sheet for 10 minutes before transferring to a wire rack to cool completely.