Blend the cream cheese & confectioners sugar together in a mixer until smooth.
Add Nutella. Stir.
If separating some for kids - remove a portion of the mixture & place in a small bowl - cover & freeze.
With the remaining mixture - beat in the Kahlua until creamy and smooth.
Cover & freeze 1-2 hours.
Once the mixture is quite firm - scoop out portions with a melon baller & roll into balls between your hands.
Roll in the cocoa powder or another coating of choice.
Place on a parchment-lined baking sheet & return to the freezer to firm again.
Store in the freezer until ready to serve.