Mix sugar, cocoa, milk, and butter in heavy saucepan over medium-high heat. Bring to a boil, and cook for about 10 minutes, stirring constantly, to soft-ball stage--239 degrees on a candy thermometer.
Remove from heat. Add vanilla and nuts, then marshmallows, and stir until the marshmallows have dissolved.
Pour in buttered 9-by-13-inch pan. Let cool completely before cutting into squares.
