01 - Preheat the oven to 350°F (180°C). Grease and line an 8×12 inch (20×30 cm) baking tin with parchment paper.
02 - In a large mixing bowl, beat the softened butter and caster sugar together using an electric mixer until the mixture turns pale and fluffy, approximately 3 to 4 minutes.
03 - Add the eggs one at a time, beating well after each addition. Pour in the vanilla extract and mix 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, being careful not to overmix.
05 - Spread the batter evenly into the prepared baking tin, smoothing the top with a spatula. Bake for 12 to 15 minutes until a skewer inserted into the center comes out clean.
06 - Allow the sponge to cool in the tin for 10 minutes, then turn it out onto a wire rack to cool completely.
07 - While the sponge cools, dissolve the jelly crystals in the 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 liquid, syrupy consistency.
08 - Once the sponge is completely cool, use a sharp knife to cut it into 24 equal-sized squares.
09 - In a chilled bowl, whip the heavy cream with the powdered sugar and vanilla extract using an electric mixer until firm peaks form.
10 - Place a spoonful of whipped cream onto one sponge square and sandwich it together with a second square, pressing down gently. Repeat with the remaining squares to create 12 filled cakes.
11 - Dip each sandwiched cake into the semi-set jelly, turning to coat all sides evenly. Allow the excess jelly to drip off briefly before proceeding.
12 - Immediately roll each jelly-coated cake in the desiccated coconut, pressing gently to ensure an even coating. Place the finished cakes on a wire rack.
13 - Refrigerate the assembled jelly cakes for at least 30 minutes to allow the coating to set properly before serving.