Preheat oven to 325 degrees F.
Whip egg whites in electric mixer for 5 minutes. Gradually add confectioners' sugar and vanilla sugar. Continue to whip egg whites and sugar for 10 minutes. Remove bowl from mixer and fold into the mixture the cocoa, cinnamon and walnuts. Lightly grease two cookie sheets and drop 3/4 teaspoons of cookie mixture on cookie sheets 1 1/2 inches apart. Bake for 8 to 10 minutes. Remove cookies from oven and cool for a few minutes
If you cannot find vanilla sugar: Take 1vanilla bean, whole or scraped and 2 cups granulated sugar. If vanilla bean is whole, slice down side of bean with back of knife and scrape seeds into airtight container with the sugar. Bury bean in sugar and seal tightly with lid. Let sit for 1 to 2 weeks. Use as regular, granulated sugar