I thought aυτή was feminine, and αυτό was the neutral, so I read this as "She is my chocolate". Where have I gone wrong?
Grammatical gender is not always the same as natural gender. Σοκολάτα is a feminine noun.
That is εκείνος/εκείνη/εκείνο. So that is my chocolate means εκείνη είναι η σοκολάτα μου.
This would be 'η σοκολάτα είναι δική μου'. It's describing the same situation, but not in the same way.