Combine coffee and wine; set aside.
Place cheeses in a medium bowl; beat with a mixer at medium speed until smooth. Gradually add sugar, beating until well blended.
Cut each ladyfinger crosswise into 3 pieces. Arrange 5 ladyfinger pieces into each of 9 wineglasses or small bowls; drizzle each serving with about 1 tablespoon coffee mixture. Spoon about 1 1/2 tablespoons cheese mixture into each glass. Repeat layers once; sprinkle evenly with cocoa. Cover and chill at least 1 hour.