Preheat oven to 350.
Beat butter, vanilla, egg and cream cheese until fluffy. Mix in cake mix.
Chill for 1 hour.
Scoop dough with cookie scoop into a bowl of powdered sugar. Roll around and then flatten dough, place a Rolo in the middle and fold the dough around the Rolo.
Place cookie dough on a parchment paper lined baking sheet and bake for 10-12 minutes.
Dust powdered sugar over baked cookies, if desired. Let cool.