Melt chocolate in a double boiler or microwave, stirring until smooth. Spread crushed peanuts on a plate.
While chocolate melts, whisk together milk, butter and vanilla.
Gradually stir in 2 1/2 cups of the powdered sugar. Coat your hands with powdered sugar and knead dough until it reaches the desired consistency. Your dough should be firm by not crumbly. Add more sugar if needed. Dough will be sticky. Form dough into a log and dust with powdered sugar then roll up in parchment paper. Refrigerate for at least an hour until firm enough to handle.
When dough is set, cut off pieces into desired size. Remember that your finished candy will be a bit larger with the candy coating and added peanuts.
Form the piece of dough into an egg shape. You can use the space between your index finger and thumb as a guide.
Dip the candy into the melted chocolate to coat on all sides. Tap off excess. Lay coated candy in peanuts and roll around to coat. Let set a minute or until chocolate starts to set up. Reshape as needed. Chill until fully set. Enjoy!