Preheat oven to 375°F and line pans with parchment paper.

In a large bowl, combine cake mix, eggs, oil and vanilla extract.

Scoop out pieces of dough that are about 1 tablespoon in size, or a little bigger. (Dough will be gooey.)

Drop into powdered sugar and cover with the sugar, then place cookie sheet 3 inches away from other dough balls.

Bake for 7-10 minutes and let cool.

Filling: Beat cream cheese and butter until smooth. Add vanilla and slowly add powdered sugar until you reach your desired consistency.

Pipe onto the bottom of half the cookies, sandwich with another cookie and then roll in coarse sugar to decorate.