Yes, buy confectioner's sugar in the store, I suggest brand name, those have seemed the most consistent to me.
Here is my method
Cream the butter until smooth. Add vanilla and enough confectioners sugar to make a very thick frosting. Once you have a nice smooth, and very thick buttercream, add ROOM TEMPERATURE cream cheese and mix just until combined. DO NOT WHIP after adding the cream cheese or the cheese will start to break down and make your icing kinda runny, and you'll have to add a lot of confectioners sugar to bring it back to an easy to spread icing.
People feel that whipping the icing is a good thing, but the opposite is true with cream cheese icing, it will break down.
I also always use full fat cream cheese.