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1. Preheat oven to 375 degrees and line pans with parchment paper.
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2. In a large bowl, combine cake mix, eggs, oil and vanilla extract.
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3. Scoop out pieces of dough that are about 1 tablespoon in size, or a little bigger. (Dough will be gooey.)
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4. Drop into powdered sugar and cover with the sugar, then place cookie sheet 3 inches away from other dough balls.
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5. Bake for 7-10 minutes and let cool.
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6. Filling: Beat cream cheese and butter until smooth. Add vanilla and slowly add powdered sugar until you reach your desired consistency.
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7. Pipe onto the bottom of half the cookies, sandwich with another cookie and then roll in coarse sugar to decorate.