How do you make a cake with soft fillings baked inside? I've seen cakes baked with soft fillings inside like a cream cheese of chocolate buttercream type filling that were obviously baked in there, rather than baking and filling when cold. What are the general techniques for doing this, and do they work with all kinds of fillings?
I have a few recipes that are made like that, and the general technique is:

1) Fill the cake tin with half of the batter you would use for a cake;
2) Spoon or pipe the required quantity of filling;
3) Fill the tin with the rest of the batter;
4) PROFIT!

It doesn't work with all fillings, considering that you need to have a filling that is heat resistant (buttercream is a no-no) and that doesn't expand when heated (nothing too airy). 

The recipes I have call for brigadeiro (which is a kind of chocolate fudge made with condensed milk, powdered cocoa and butter, previously cooked), dulce de leche, fruit jam and one of them uses a mix of cream cheese, sugar and Bailey's, and all of them work very well.