01 - Preheat oven to 350°F. Grease and line an 8x12-inch baking tin with parchment paper.
02 - Using an electric mixer, beat softened butter and caster sugar together until pale and fluffy, approximately 3 to 4 minutes.
03 - Add eggs one at a time, beating well after each addition. Mix in vanilla extract until fully incorporated.
04 - Alternately fold in sifted self-raising flour and milk in three additions, mixing until just combined. Avoid overmixing to keep the sponge light.
05 - Spread batter evenly into the prepared tin. Bake for 12 to 15 minutes until a skewer inserted in the center comes out clean.
06 - Allow the sponge to cool in the tin for 10 minutes, then turn out onto a wire rack to cool completely.
07 - While the sponge cools, dissolve jelly crystals in boiling water, stirring until fully dissolved. Stir in cold water, pour into a shallow dish, and refrigerate for 45 to 60 minutes until just beginning to set but still liquid enough to coat.
08 - Using a sharp knife, cut the completely cooled sponge into 24 equal squares.
09 - Whip heavy cream with powdered sugar and vanilla extract to firm peaks using an electric mixer.
10 - Place a spoonful of whipped cream between two sponge squares, pressing gently to sandwich them together. Repeat to form 12 filled cakes.
11 - Dip each sandwiched cake into the semi-set jelly, coating all sides evenly. Allow excess jelly to drip off briefly.
12 - Immediately roll each jelly-coated cake in desiccated coconut, covering all surfaces. Place on a wire rack and refrigerate for at least 30 minutes before serving.