01 - Preheat the oven to 350°F (180°C). Grease and line a 8 x 12 inch baking tin with parchment paper.
02 - Using an electric mixer, beat the softened butter and caster sugar together until pale and fluffy, approximately 3 to 4 minutes.
03 - Add the eggs one at a time, beating well after each addition. Mix in the vanilla extract until fully combined.
04 - Alternately fold in the sifted self-raising flour and milk in three additions, beginning and ending with the flour. Fold gently until just combined to avoid deflating the batter.
05 - Spread the batter evenly into the prepared baking tin. Bake for 12 to 15 minutes until the top springs back when lightly touched and a skewer inserted in the center comes out clean.
06 - Allow the sponge to cool in the tin for 10 minutes, then carefully turn it out onto a wire rack to cool completely.
07 - While the sponge cools, 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 to 60 minutes until it reaches a soft, semi-set consistency.
08 - Using a sharp knife, cut the cooled sponge into 24 equal-sized squares.
09 - Whip the heavy cream with powdered sugar and vanilla extract until firm peaks form, being careful not to over-whip.
10 - Spread a spoonful of whipped cream between two sponge squares, gently pressing them together to form a sandwich. Repeat with remaining squares to make 12 filled cakes.
11 - 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 to coat completely. Place on a wire rack.
12 - Refrigerate the coated cakes for at least 30 minutes to allow the jelly to fully set before serving.