In a large bowl combine the flour, butter, sugar, cocoa, egg, and a pinch of salt, and mix with a wooden spoon.
Then add the Marsala and continue to with your hands begin to knead the ingredients.
When the dough is homogeneous and smooth let it rest for about 30 minutes.
Till the dough is resting, prepare the filling by stir in a bowl the ricotta through a sieve with the other filling ingredients, and refrigerate.
Roll out the dough with a rolling pin up to a thickness of about 3 mm and cut it into 4-inch (10 cm) squares.
Use metal cannoli tubes and wrap around the squares diagonally.
Pour enough olive oil into a deep pot and heat the oil. When is hot, fry 3 or 4 cannoli shells at a time until golden or for about 1-2 minutes.
When the cannoli is golden remove from the oil and use a paper towel to drain on and let cool and when are cool enough remove them from the metal tubes.
Now take the cannoli filling and fill the cannoli. You can sprinkle some powder or confectioner sugar on top and serve immediately.