Whisk together the heavy cream (ideally extra-cold), marshmallow fluff and vanilla extract until stiff peaks form. Set aside.
In a blender, combine milk and chocolate sauce. Add ice cream and blend until smooth.
Fill 4 glasses one-quarter of the way with the shake; add some marshmallow cream, then more milkshake, then cream, then milkshake. Finish with a dollop of marshmallow cream and garnish with grated bittersweet chocolate.