1) In a food processor, process mixture of flour, granulated sugar, coco and salt for 5 seconds. Then add the vegetable shortening or lard and process for about 10 seconds.
2) Then gradually pour the sweet marsala wine through the lid to form a dough, and process for 1 minute. Remove on a counter and knead for 2-3 minutes. Wrap and rest for at least an hour.
3) Remove the dough and cut into quarters. Work one dough at a time, keep rest covered. Flatten the dough and pass it through a pasta machine on a widest setting. Fold in thirds and put through at right angles to the first so it becomes rectangular. Repeat for 3-4 times. Decrease the setting and pass the dough once through in each setting, sprinkle flour if needed, to get the dough very thin. Repeat the procedure with the 3 pieces of dough.
4) Place the 4 1/2 inch oval template and carve out ovals from the dough.
5) Arrange the ovals length-wise on the cannoli tube, seal the edges with the egg white and press gently. Set on a try lined with a plastic wrap.
6) Fry the cannoli tubes in heated oil at 360 Degree F for about 2 to 2 1/2 minutes until brown and crisp. Shake to remove the tube and cool.
7) Store in an airtight container. Put the filling just before serving.