In a medium bowl, beat yolks with sugar and vanilla until smooth and light yellow. Fold mascarpone into yolk mixture. Set aside.
Dip ladyfingers briefly in coffee and arrange 12 of them in the bottom of an 8x8 inch dish. Spread half the mascarpone mixture over the ladyfingers. Repeat with remaining cookies and mascarpone. Cover and chill 1 hour. Sprinkle with cocoa just before serving.