Heat the oven to 180C/fan 160C/gas 4. Beat together the butter and icing sugar until pale and creamy, then add the vanilla extract and mix well. Sift the flour and cornflour over and mix thoroughly. Halve the mixture and add the cocoa to one half. Mix well and add a drop of water if the mixture is too stiff.
Spoon the mixtures into 2 piping bags fitted with star nozzles. Line 2 baking sheets with baking parchment and pipe out 16 walnut-sized biscuits from each mixture, leaving a little space between each biscuit.
Bake for 15-20 minutes, or until cooked. Remove from the oven and allow to cool on the baking sheet. Meanwhile, mix the mascarpone and sugar until smooth, then divide between 2 bowls. Melt the chocolate in a bowl over a pan of simmering water or in the microwave. Add the melted chocolate to one of the bowls and the vanilla to the other. Mix both until smooth.
Sandwich together the vanilla melting moments with the chocolate mascarpone and the chocolate biscuits with the vanilla mascarpone.