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For chocolate sauce, in a heavy medium saucepan combine cream, 1/3 cup cocoa powder, 1/4 cup granulated sugar, and 1 tablespoon vanilla. Bring to a boil over high heat, whisking until well mixed. Gently boil for 2 to 3 minutes or until thickened. Remove from heat. Transfer to a small bowl; cool completely.
Preheat oven to 350°F. Line a baking sheet with parchment paper; set aside. In a small bowl combine 3 tablespoons granulated sugar and 1 tablespoon cocoa powder.
Unfold phyllo dough; remove one sheet of the phyllo dough. (As you work, cover the remaining phyllo dough with plastic wrap to prevent it from drying out.) Place the sheet of phyllo dough on a cutting board. Using a pastry brush, brush the entire surface with melted butter. Sprinkle about 2 teaspoons of the sugar mixture over phyllo sheet. Top with another phyllo sheet; brush with melted butter and sprinkle with sugar mixture. Repeat until all six phyllo sheets are stacked on top of each other, brushed with butter, and sprinkled with sugar mixture. Cut the phyllo stack into six equal pieces.
Transfer the stacked phyllo pieces to the prepared baking sheet. Bake for 10 to 15 minutes or until golden brown and crisp. Cool on baking sheet on a wire rack.
Meanwhile, for cannoli filling, in a large bowl stir together ricotta cheese, chocolate pieces, powdered sugar, 1 teaspoon vanilla and lemon peel.
To serve, place a dot of the cannoli filling on each of six dessert plates. Cut one of the stacked phyllo pieces diagonally into two triangles. Place one of the triangles on one of the dessert plates. Top with some of the remaining cannoli filling. Arrange the second phyllo triangle on top of the cannoli filling. Repeat with the remaining stacked phyllo pieces and the remaining cannoli filling. Serve with the chocolate sauce.