Rub the rim of four to six chilled martini glasses with a wedge of orange. Spread vanilla sugar onto a plater. Invert glasses into the sugar to coat rims. Set aside.
In a cocktail shaker or container with tight-fitting lid, combine half of the ice cubes, half of the vanilla vodka, half of the Irish cream liqueur, and half of the Cointreau®. Cover and shake vigorously. Strain mixture into two or three of the martini glasses; discard ice cubes. Repeat with remaining ice cubes, vodka, liqueur, and Cointreau®. Strain into remaining martini glasses.
Garnish drinks with orange slices and chocolate shavings, if you like. Makes 4 to 6 drinks.
If you do not have vanilla vodka, substitute 1 cup regular vodka and 1 teaspoon vanilla.