Step 1: In heavy saucepan over low heat melt butter. Add cocoa; stir until smooth. Blend in milk; stir constantly until mixture is thick, smooth and glossy, about 4 minutes.
Step 2: Remove from heat and stir in vanilla and Grand Marnier (or other alcohol of choice). Chill 3 - 4 hours until firm.
Step 3: Shape into 1-inch balls; roll in cocoa or confectioners sugar.
Step 4: Chill until firm, 1-2 hours.
Step 5: Store covered in refrigerator.
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