Cream together butter, powdered sugar and vanilla until pale and creamy.
Add milk and beat until incorporated.
In a bowl mix flour and baking powder.
Add it to the butter and beat until combined.
Divide the sticky dough into two portions.
Place one portion in a cling wrap and refrigerate.
Add cocoa powder to the remaining dough and mix well.
Transfer to a cling wrap and refrigerate until slightly firm.
Once the chocolate dough is firm enough to be rolled, remove it from fridge and roll it into a thick log of 1 1/2" diameter.
I made two rolls to make the rolling uniform and easier.
Cover in a parchment paper and refrigerate.
Now remove the vanilla dough, place between two parchment papers and roll into a slightly thick rectangle.
Place the chocolate rolls on the vanilla dough and cover it with the vanilla dough. Work one log at a time.
Trim the unwanted vanilla dough and then wrap the two ends of the vanilla dough around the chocolate log.
Press to seal the edges.
Cover it with parchment paper and refrigerate until very firm. You can also freeze the rolls until hard.
Preheat oven to 175°C.
Slice the log into 1/4" slices with a sharp knife.
Arrange on a lined baking tray and bake for 10-15 minutes or until nicely browned. If they look pale then they will turn soft.
Cool on wire rack and store in an airtight jar.