Preheat oven to 350 degrees F.
Spray a pie dish or 11 x 7 baking dish with cooking spray.
Roll out one of the crescent sheets on a flat surface.
In a small bowl, mix together cream cheese, confectioners' sugar, and vanilla and then use the back of a spoon to spread it out on the crescent sheet.
Place the other crescent sheet on over the cream cheese mixture and spread out the marmalade.
Starting on the short side, roll the crescent sheets up and then use a sharp knife to cut them into 7 slices if you're using a pie dish and 6 slices if you're using an 11 x 7 baking dish.
Arrange rolls in the pan and bake for 20 to 25 minutes.