1. Preheat oven to 350°F. In a large bowl, stir cake mix, cinnamon, and cayenne together. Add the oil, eggs, and vanilla and stir until a dough forms.
2. Shape dough into 1-inch balls. (If dough is too sticky to handle, refrigerate for 30 minutes.) Pour the confectioners sugar into a large, shallow dish, and roll the dough-balls in the sugar to coat. Arrange finished dough-balls on an ungreased cookie sheet, about 2 inches apart.
3. Bake cookies for 12 minutes. Let cool on sheet 1 minutes, then transfer to a wire cooling rack to cool completely before serving.
Per serving: 120 calories, 6g fat, 1g saturated fat, 31mg cholesterol, 101mg sodium, 16g carbohydrate, 0g fiber, 12g sugar, 1g protein