01 - Preheat the oven to 350°F. Grease and line a 8x12-inch baking pan with parchment paper.
02 - Using an electric mixer, beat the softened butter and caster sugar together until pale and fluffy, approximately 3-4 minutes.
03 - Beat in the eggs one at a time, ensuring each is fully incorporated before adding the next. Stir in the vanilla extract.
04 - Alternately fold in the sifted self-raising flour and milk in three additions, beginning and ending with the flour. Mix until just combined to avoid deflating the batter.
05 - 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.
06 - Allow the sponge to cool in the pan for 10 minutes, then turn 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 into a shallow dish. Refrigerate for 45-60 minutes until the jelly is just beginning to set but still liquid enough to coat the cakes.
08 - Using a sharp knife, cut the cooled sponge into 24 equal squares.
09 - Whip the heavy cream with powdered sugar and vanilla extract until firm peaks hold their shape.
10 - Sandwich pairs of sponge squares together with a generous spoonful of whipped cream in the center.
11 - Dip each assembled cake into the semi-set jelly, turning to coat all sides evenly. Allow excess jelly to drip off briefly.
12 - Immediately roll each jelly-coated cake in desiccated coconut, pressing gently to adhere. Place on a wire rack and refrigerate for at least 30 minutes to set before serving.