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Combine sugar, corn syrup, shortening, and cocoa in a medium saucepan over medium/high heat.
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Bring mixture to a boil, then reduce heat to medium, and simmer candy until temperature comes to 275 degrees on a candy thermometer.
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Remove pan from heat.
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When bubbling stops, add condensed milk and beat in pan with electric mixer for about 30 seconds.
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Add vanilla, then continue to beat candy until it begins to firm up and you can no longer beat it.
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Pour candy out onto wax paper.
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When cool, divide candy into several portions and roll into long ropes that are approximately 1/2 inch thick.
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Use a sharp knife to slice candy into 1 1/8-inch-long portions.
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Arrange the candy on a plate and let it sit out overnight so that it firms up.