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