Combine the cream, sugar and vanilla in a bowl and beat until stiff peaks form. Beat in the mascarpone.
Combine the espresso and rum in a shallow bowl.
Break the ladyfingers into thirds to make 18 pieces. To build the first tiramisu, quickly dip 2 pieces in the coffee mixture, then place in the bottom of a small glass.
Spoon a heaping tablespoon of the mascarpone mixture on top. With a rasp or the smallest holes on a box grater, grate a fine layer of the chocolate over the mascarpone mixture. Repeat 2 more times to fill the glass, then repeat the whole process for the second tiramisu.
Using a fine sieve, dust the tops with cocoa powder. Refrigerate for at least 2 hours or up to 2 days.