Add whipping cream to a mixing bowl and beat on medium speed with an electric mixer (can do by hand with a whisk also but will take much longer). Slowly add sugar and vanilla and continue to beat until stiff peaks form. Add mascarpone cheese and mix just until combined. Set aside.
Sift a thin layer of cocoa powder onto the bottom of an 8x8 inch baking dish or whatever vessel you're using.
Add coffee and Kahlua liqueur (if using) to a shallow bowl. Dip the lady fingers in the coffee one at a time (Don't soak them-just quickly dip them on both sides to get them wet) and lay them in a single layer on the bottom of an 8x8 inch baking dish.
Smooth half of the mascarpone cream mixture over the top. Add another layer of dipped lady fingers. Smooth remaining mascarpone cream over the top.
Dust cocoa powder generously over the top (I use a fine mesh strainer to do this). Refrigerate for at least 3 hours or overnight before serving.