Add cream cheese, butter, egg, and vanilla to large mixing bowl. Mix until smooth (1-2 minutes).
Divide batter equally into two smaller bowls.
Add blue gel food coloring to one bowl and green to the other. Mix until color is evenly distributed.
Chill in fridge for 30 minutes.
Take a small amount of each color dough and gently mix to create a slightly marbled effect. Roll into a ball.
Roll dough ball in powdered sugar until coated. Place on prepared baking sheet. Repeat using remainder of dough.
Chill again for 30 minutes.
Bake at 350 degrees for 12-15 minutes, careful not to over-bake.