01 - Preheat oven to 350°F (180°C). Grease and line an 8 x 12 inch (20 x 30 cm) baking tin with parchment paper.
02 - Using an electric mixer, cream the butter and caster sugar together until pale and fluffy. 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. Be careful not to overmix.
04 - Spread the batter evenly into the prepared baking tin. Bake for 12 to 15 minutes, until a skewer inserted into the center comes out clean. Cool in the tin for 10 minutes, then turn out onto a wire rack to cool completely.
05 - 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 the jelly is just beginning to set but still has a syrupy consistency.
06 - Once the sponge has cooled completely, trim the edges if needed and cut into 24 equal-sized squares.
07 - Whip the heavy cream with powdered sugar and vanilla extract until firm peaks form. Be careful not to over-whip.
08 - Place a spoonful of whipped cream between two sponge squares, pressing gently to sandwich them together. Repeat with remaining squares to make 12 filled cakes.
09 - Working quickly, dip each sandwiched cake into the semi-set jelly, turning to coat all sides evenly. Allow excess jelly to drip off before proceeding.
10 - Immediately roll each jelly-coated cake in desiccated coconut, covering all surfaces. Place on a wire rack and refrigerate for at least 30 minutes to set before serving.