In a medium-sized mixing bowl, whisk together flour, polenta, salt, and rosemary.
In another medium-sized bowl, mix butter, sugar, and goat cheese until fully combined.
Mix in egg and vanilla.
Add flour mixture to the wet ingredients a little bit at a time until just combined.
Onto baking sheets lined with parchment paper, pipe "S" shapes that curl in on both ends using a pastry bag fitted with an open star tip. Space them 1 1/2 inches apart from each other.
Chill in the refrigerator until the dough is firm, about one hour.
Preheat oven to 350 F.
Bake cookies until edges are golden, about 15-18 minutes, rotating sheets halfway though baking.
Transfer cookies to cooling racks.
Cookies can be stored in an airtight container at room temperature for up to one week.