@ZipLine-- I've never tried making it, but I have heard that it's very difficult to make paczki. Most people just buy it.
I have a friend who works at a bakery that makes paczki year around (it's in Chicago). He said that they have special frying machines for them and the batter is always made by the same person who is Polish and has been making paczki for the past forty years.
They make the real stuff, completely hand-made, from scratch. Apparently, some bakeries cheat and inject the filling into the doughnut after it has fried. The filling is supposed to be added to the dough beforehand.
If you want to eat paczki year-around, you can probably order from bakeries in Chicago. I think some bakeries ship all over the US.