Preheat the oven to 350 degrees. Combine cream cheese, butter, vanilla extract, and egg in a medium sized bowl. Using a hand or stand mixer, whisk the dough until well combined.
Stir in the yellow cake mix until well combined. The dough will be slightly sticky. Set Aside. In a different small bowl measure out your powdered sugar. Set Aside.
Take a small piece of dough and roll it (using your palms) until a ball about 1 inch in diameter forms. Drop the ball into the powdered sugar bowl and coat it completely then set on a prepared cookie sheet. Repeat until all dough is used. *See Recipe Note For Optional Chill Time
Bake for 10-12 minutes on the middle rack of the oven. The cookies will be light in color and shouldn't brown on top. Serve warm or store in an airtight container for up to two weeks.
Chilling Tip: It is recommended (but not required) that you let the dough chill for 30 minutes before rolling the dough. The dough is sticky and it is easier to work with after the dough has chilled some. If you are in a hurry (or do not mind messy fingers) then of course you can skip the chill time.
Leftover Storage: Store leftover gooey butter cookies in an airtight container at room temperature for 1-2 weeks.
Freezer Option: Store rolled cookie dough balls in the freezer for up to 3 months. Bake according to recipe instructions and add 1-2 minutes to the cook time.