Line a sieve with two layers of cheesecloth and place over a bowl. Set aside.
In another bowl, combine the yogurt, cheese, sugar, chocolate, orange zest, and vanilla. Pour into the strainer and cover with plastic wrap. Allow to drain in the refrigerator for about 4 hours, or until the mixture is firm.
Just before serving, fill the cones with the cheese and yogurt mixture. Place the cones in glasses. Dust the cones with icing sugar.
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