Combine the dry components in a medium saucepan. This includes the protein powder, unsweetened cocoa powder, thickening agent, and a pinch of salt. Whisk these together thoroughly.
Gradually add the milk to the dry mixture. Whisk continuously to prevent lumps from forming. Ensure the mixture is smooth before proceeding.
Place the saucepan over medium heat. Stir constantly as the mixture heats up. Continue stirring until it begins to thicken. This usually takes about 5-7 minutes.
Remove the saucepan from the heat. Stir in your chosen sweetener. Taste and adjust the sweetness as needed.
Pour the warm mixture into individual serving dishes. Cover each dish with plastic wrap, pressing it directly onto the surface to prevent a skin from forming.
Chill the puddings for at least two hours. This allows them to fully set and cool. Serve cold and enjoy your delicious dessert.