1-In a medium saucepan over low heat, cook and stir condensed milk and cocoa until smooth and slightly thickened, 5 minutes. Remove from heat , and allow to cool slightly. Stir in heavy cream, light cream, and vanilla. Refrigerate until cold.
2-Pour mixture into the canister of an ice cream maker, and freeze according to manufacturer's directions. Stir in nuts and marshmallows halfway through the freezing process.