In a large bowl with an electric mixer, cream the cream cheese and butter until smooth. Beat in the egg. Then beat in the vanilla extract. Beat in the cake mix. Cover and refrigerate for 2 hours to firm up so that you can roll the batter into balls.
Preheat oven to 350 degrees F.
Roll the chilled batter into tablespoon sized balls and then roll them in confectioner's sugar. Place on an ungreased cookie sheet, 2 inches apart. Bake 12 minutes. The cookies will remain soft and "gooey." Cool completely and sprinkle with more confectioners' sugar, if desired.