Put the frozen phyllo pastry in the refrigerator the night before you make the recipe, allowing it to thaw gradually. Preheat oven to 400 F. In a small sauce pan melt butter, add cocoa and confectioners sugar. Prepare the phyllo dough by taking 4 layers and brushing each layer with melted sweet cocoa butter, cut it into 8 equals stripes. Roll each stripe tightly. Make the same manipulations with a remaining phyllo dough. Place your phyllo cigars on a backing sheet laid with a parchment paper and brush them with a cocoa butter. Bake for about 13-15 min, or until crisp. Meanwhile you can cook the chocolate dip. Break chocolate into small pieces, add heavy whipping cream and melt on a double boiler until smooth. Serve crispy phyllo cigars with a warm chocolate sauce.