I've made a chocolate stout (from grain with all the hassle and mess that implies) and no chocolate was used in the mix. It's due to the roating of the malt, a bit more than amber (that gives you your 'biscuit' flavours') and a bit less than black malt (_really_ astringent, too much makes your mouth hurt).
I don't know what the real brewers get up to but cocoa is much more expensive that chocolate malt and you'd need a LOT of it to get a reasonable flavour (I know, I've tried). I'd be surprised if they did this but am probably as wrong about that as I am about so many things.
Rosie