Place hazelnuts on an oven tray and roast until the skin cracks and the hazelnuts colour a little but not too much. Place hazelnuts in a tea towel or kitchen paper and rub them against one another to remove most of the skin.
Place hazelnuts in a food processor and blend to a powder.
Bring cream and milk to the boil in a saucepan and on a low heat, stir in chocolate until it has all melted.Stir in hazelnut powder and Grand Marnier.
Transfer preparation to a bowl and refrigerate for about 30-40 minutes, during which time you need to stir it two or three times with a wooden spoon. It will stiffen like thick icing.
Stir chocolate mixture again before spooning it into the piping bag. Pipe small mounds of chocolate, about the size of a twenty cent piece or shape the mixture with a teaspoon. It is easier to do this on baking paper. Refrigerate truffles for about 30 minutes.
Place cocoa in a bowl. Using a spatula, lift each truffle and roll in the cocoa. To obtain a round shape, roll the coated truffles rapidly between the hands without pressing too hard. Then roll the truffles again in the cocoa and refrigerate until required.