In a medium bowl, beat yolks with sugar and vanilla until smooth and light yellow. Fold mascarpone into yolk mixture. Set aside.
Cut pound cake in 1/3 inch slices. Cut each slice in half lengthwise. Line up 8 wineglasses on your work surface.
Working with ½ of the pound cake slices; Dip each slice briefly in coffee (don’t allow slices to become soaked) and divide evenly between each of the wine glasses. Drizzle 1 TBSP Kahlua over the pound cake slices in each wine glass. Spread half the mascarpone mixture over the pound cake slices. Repeat with remaining pound cake slices, mascarpone mixture and Kahlua to create another layer. Cover and chill 1 hour. Sprinkle with chocolate shavings just before serving.