Combine the first 4 ingredients in a 2-quart glass measure; stir well. Gradually add milk, stirring with a whisk. Microwave at high for 2 1/2 minutes, stirring occasionally. Microwave at medium-high (70% power) for 2 1/2 minutes or until thick, stirring occasionally. Stir in vanilla. Cover surface of mixture with plastic wrap; chill.
Spoon 1 tablespoon cookie crumbs into each of 8 (8-ounce) glasses; top each with 3 tablespoons bananas and 1 1/2 tablespoons chocolate mixture. Repeat layers once, ending with chocolate mixture. Serve immediately.