How to Make It
Process the cookies in a food processor until finely ground, about 1 minute. Add the cream cheese, powdered sugar, mascarpone, and salt. Process until the dough forms a ball, 20 to 30 seconds.
Dust the work surface with the cocoa. Divide the dough in half and shape each half into a 10-inch log. Wrap with plastic wrap and chill until firm, at least 2 hours or overnight.
Transfer the crushed candies to a piece of parchment paper. Roll each log in the candy until covered. Cut the logs into ½-inch slices and serve.