Chop the chocolates finely with a sharp knife. Place them in a heat-proof mixing bowl.
Heat the cream in a small saucepan until it just boils. Turn off the heat and allow the cream to sit for 20 seconds. Pour the cream through a fine-meshed sieve into the bowl with chocolate. With a wire whisk, slowly stir the cream and chocolates together until the chocolate is completely melted. Whisk in the Grand Marnier, if using, coffee, and vanilla. Set aside at room temperature for 1 hour.
With 2 teaspoons, spoon round balls of the chocolate mixture onto a baking sheet lined with parchment paper. Refrigerate for 30 minutes, until firm. Roll each dollop of chocolate in your hands to roughly make a round ball. Roll in confectioners' sugar, cocoa powder, or both. These will keep refrigerated for weeks, but serve at room temperature.