Place the butter and cream cheese in a large mixer bowl and beat until smooth and creamy, about 30 seconds. Add the sugar, lemon zest, orange zest, lemon juice and vanilla, one at a time, beating after each addition. Beat well and scrape down the sides of the bowl. With the mixer on low, add the flour and mix until well incorporated.
Divide the dough in half, for each piece into a 10-inch log, and then roll in graham cracker crumbs. Cover each log (I wrapped mine gently in plastic wrap) and refrigerate for at least 3 hours and up to 3 days.
Preheat the oven to 375 degrees. Line 2 cookie sheets with parchment paper.
With a sharp or serrated knife, cut the logs into 1/4-inch slices. Place 1-inch apart on the prepared cookie sheets and bake until the bottoms are lightly browned, 8 to 10 minutes. Cool on the cookie sheets for a few minutes then transfer the cookies to wire racks to cool completely. Repeat with the remaining dough on cool cookie sheets.