01 - Preheat oven to 350°F. Grease and line a 8×12 inch baking pan with parchment paper.
02 - Using an electric mixer, cream the butter and caster sugar until pale and fluffy, approximately 3–4 minutes. Add eggs one at a time, beating well after each addition, then mix in the vanilla extract.
03 - Alternately fold in the sifted self-raising flour and milk in three additions, mixing until just combined. Avoid overmixing to keep the sponge light.
04 - Spread the batter evenly into the prepared pan. Bake for 12–15 minutes until the top springs back when lightly pressed and a skewer inserted in the center comes out clean.
05 - Allow the sponge to cool in the pan for 10 minutes, then turn out onto a wire rack to cool completely.
06 - Dissolve the jelly crystals in boiling water, stirring until fully dissolved. Stir in the cold water, then pour the mixture into a shallow dish. Refrigerate for 45–60 minutes until it reaches a soft, semi-set consistency.
07 - Once the sponge is completely cool, trim the edges if needed and cut into 24 equal squares.
08 - Whip the heavy cream with powdered sugar and vanilla extract until firm peaks form. Be careful not to overwhip.
09 - Spread a generous spoonful of whipped cream between two sponge squares, pressing gently to sandwich them together. Repeat to form 12 filled cakes.
10 - Dip each sandwiched cake into the semi-set jelly, coating all sides evenly. Allow excess jelly to drip off briefly, then roll immediately in desiccated coconut, pressing gently to adhere.
11 - Place the coated cakes on a wire rack and refrigerate for at least 30 minutes to allow the jelly to fully set before serving.