In a mixing bowl, whisk mascarpone until smooth and creamy. Add confectioner's sugar, vanilla extract and mix well.
In another bowl, beat heavy cream until stiff peaks form - this takes about 8~10 minutes when done by hand.
Add the whipped cream to the mascarpone cheese, a little at a time, and fold until well mixed. The cream filling is ready to use. This can be made 2~3 days in advance.