In the stand mixer, mix together the cake mix, egg, butter, and cream cheese until a soft dough forms. Put this dough in the fridge for at least an hour.

Preheat the oven to 350 degrees. Set out a cookie sheet.

Scoop out and roll the dough into 24 dough balls. Press each ball flat and place a Rolo in the center.

Manipulate the cookie dough around the rolo and roll it back into a ball. Cover the ball in cinnamon sugar and place on a baking sheet.

Bake for 9-10 minutes. Remove from the oven and let cool on the cookie sheet for 2 minutes before moving to a piece of parchment paper.

They get stuck to the pan if you leave them too long so get a good metal spatula to scrape them onto the parchment paper.