Preheat the oven to 350°F and line two baking sheets with parchment paper. Set aside.
Add the cake mix, oil and eggs to a large bowl. Use a hand mixer or a stand mixer to combine. If a darker cookie is desired for that Oreo look, add a few drops of black food coloring until the desired color is achieved.
Use a medium cookie scoop to scoop dough onto the prepared baking sheets, leaving 2 inches between them. Bake for 11-12 minutes, until the edges of the cookies are set. Let them cool for 2 minutes on the baking sheet before transferring to a cooling rack to cool completely.
In a medium bowl, beat the cream cheese and butter together until smooth. Add the powdered sugar, salt, and vanilla and beat again until fully combined.
Add the filling to a piping bag or a ziplock bag and snip off the end for a medium sized opening. Squeeze a dollop of frosting on the backside of one cookie and sandwich another on top. Repeat with the rest of the cookies.