Cream the butter together with vanilla in the mixer until smooth. On a lower speed, gradually add in the powdered sugar.
Once all the powdered sugar is added, it will look kind of crumbly, like this. At this point, you should be able to form the dough into a nice big ball.
Pinch off small portions of the dough and roll them into ball shapes. Shape each ball into a log shape, making sure the ends are blunt.