Whip the cream until it starts to thicken. Add the sugar and vanilla and continue whipping until it's firm and holds it's shape. Mix together the espresso and kahlua and set aside. Take four glasses or small dessert bowls and layer one cookie at the bottom of each. Spoon 2 tsp of the espresso mixture on top, spreading it around so the entire cookie gets soaked. Grate a layer of chocolate over the top of the cookie, using a microplane or small grater. Put a dessert spoon full of cream on top of the cookie and chocolate. Take another cookie and lay it on top of the cream, pressing down slightly to spread the cream out. Continue layering until you have 4 layers, ending with whipped cream and a final sprinkling of chocolate. Cover loosely and put in the refrigerator for at least an hour or two, to get really cold.
I made individual desserts in pretty vintage glasses I got at a thrift store. Thrift stores are full of these kinds of old glassware and they're perfect for this, but you can play around with whatever glasses you have, and see what works.