Combine mascarpone, 2 tablespoons of the Bailey's Irish Cream, and the sugar. Whisk or stir together gently until combined.
In mixer bowl with whisk attachment, beat the heavy whipping cream on medium high until stiff peaks form. Fold the whipped cream into the mascarpone mixture.
Line up six dessert dishes (I used mini trifle dishes).
Stir the vanilla and the remaining 1 1/2 tablespoons of Baileys into the cooled espresso coffee.
You will need a total of 4 ladyfingers for each parfait, 2 for each layer. Cut ladyfingers into cubes. Place 6 cubes into the bottom of the dessert dish (5 around the edge and 1 in the center), arranging so that the cut side faces out and touches the side of the dish. Dribble 2 scant tablespoons of espresso over the cubes. Repeat for the other 5 dishes.
Add a layer of mascarpone cheese mixture to each dish, a heaping 1/4 cup or so. Gently press down and spread to an even layer.
Sprinkle with shaved chocolate, reserving enough for the second layer.
Repeat the process, cubed ladyfingers, espresso, mascarpone cheese, then shaved chocolate.
Use a clean, dampened cloth to wipe the edges of the dessert dishes. Cover the top of each one with plastic wrap and place in the refrigerator to chill for at least 8 hours, overnight is best to allow the flavors to mingle.
To serve, remove from refrigerator about 30 minutes ahead of time for best flavor and texture. When the filling is too cold the flavors are not as prominent.
Notes
An important note on ladyfingers: There are two types of ladyfingers available on the market. Traditional Italian ladyfingers are hard and crunchy and there's also a soft and spongy variety that you usually find in your grocer's bakery department. Soft ladyfingers are more readily available, however you may be able to find the crunchy variety at specialty markets and Italian grocers. I used the soft, spongy variety for this recipe. If using crunchy ladyfingers, you method of dipping will be to place the cookie into the espresso (lay it in the liquid), then turn it over and lift it out. If you attempt this method with the soft variety, your ladyfingers will fall apart. Note: These don't take terribly long to make but it order for the flavors to mingle and set, they will need 6-8 hours in the refrigerator. It is best to make these early in the day.