Combine the cheese, sugar, vanilla and rum in a mixing bowl. Whisk to blend. Fill a pastry bag with the cheese mixture. Fill each cannoli shell with about 1/4 cup of the filling. Line a baking sheet with parchment or waxed paper. Dip half of each cannoli in the melted chocolate. Sprinkle the remaining half with the candied lemon and orange peels. Place on the parchment paper and refrigerate until the chocolate is set.
Yield: 12 servings