In the bowl of an electric mixer, combine cream cheese and heavy cream. Beat mixture for 2 minutes, until combined. Fold in sugar and vanilla. Add mixture to piping bags.

Line a baking sheet with Gefen Parchment Paper. Dip the ends of the cannoli shells into melted chocolate, then immediately dip into sprinkles. Lay on the prepared baking sheet.

Once chocolate is set, pipe filling into cannoli shells.