Melt cheese and butter together in a nonstick saucepan; stir until smooth. Keep this mixture over a low heat. In a mixing bowl, sift confectioners' sugar and cocoa together until thoroughly mixed and no lumps remain.
Combine the sugar mixture with the melted butter and cheese. Stir until very smooth. Stir in nuts and vanilla. Press mixture into 2 lightly sprayed or buttered 9x13 inch pans; let cool until firm. Cut into small squares. This fudge can be frozen.
