Preheat oven to 350-degrees.Sift the cake mix into a large mixing bowl. Add shortening, eggs, and vanilla.
Mix the batter until just combined.
Roll dough into walnut sized balls and place onto a greased cookie sheet.
Bake for 8-10 minutes. Do not overbake. Leave cookies on the baking sheet for at least 5 minutes after removing from oven. Allow to cool completely before adding the filling.
For the Filling
Mix cream cheese and butter together until smooth. Add powdered sugar in a little bit at a time. Once the powdered sugar is incorporated, add the vanilla. The filling should form fairly stiff peaks.
After the cookies have cooled completely, spread filling over the bottom of one cookie and place another cookie on top with the bottom touching the filling. We like to freeze the cookies before we eat them, but you can eat them right away as well.