For filling, in a small bowl combine mascarpone cheese, powdered sugar, whipping cream, and 1 teaspoon vanilla. Beat with an electric mixer on low speed just until mixture thickens. Add food coloring gradually, mixing well after each addition, until filling reaches desired shade of orange. Spread about 2 tablespoons filling each on the flat sides (bottoms) of half of the cookies. Press the flat sides of the remaining cookies against the filling, tilting the top cookie to resemble a mouth opening.