Mix the cornstarch with 2 tbsp. milk in a small bowl; set aside. Combine remaining 2 cups milk with sugar and salt in a medium saucepan. Bring to a simmer over medium-low heat, uncovered, stirring occasionally. Remove saucepan from heat, add chocolate and cocoa powder, and whisk until chocolate is completely melted, about 1 minute.
Return saucepan to medium-low heat. Stir cornstarch mixture once more and add it to chocolate. Bring mixture to a simmer, stirring constantly and scraping pan bottom with a rubber spatula, until chocolate is thickened and bubbly around the edges, about 3 minutes. “It might scorch a little, so keep stirring and watch closely. It should be the consistency of heavy whipping cream, not pudding, when it’s done.”
Remove pan from heat and whisk in vanilla. “I like to blend the xocolata with an immersion blender so it’s perfectly smooth and glossy before pouring into little cups, but this is optional.”
Make ahead: Up to 1 hour before starting xurros. Cover chocolate and set aside in a warm place. Reheat gently before serving, adding a little milk if needed to thin.