First put the egg yolks into a medium-sized bowl together with the sugar and beat with an electric hand whisk on high speed for about 3 minutes, or until the mixture is light and pale.
In a separate large bowl, stir the mascarpone to soften it, add the vanilla extract, then gradually beat in the egg yolk mixture, a third at a time. Between each addition, beat well until the mixture is smooth before adding more.
Now wash and dry the beaters of the whisk, then in a third separate bowl whisk the egg whites until they form soft peaks. Now lightly fold this into the mascarpone mixture and then put the bowl to one side.
Pour the coffee and rum into a shallow dish. Next, break the biscuits into a size that will fit easily into the bottom of the glass (Delia halved hers; I quartered mine), and dip them briefly into the coffee mixture, turning them over – they will absorb the liquid very quickly.
Take your six glasses (they should be about 200ml capacity) and start layering the dessert. Start with 3 of the soaked sponge bits into each glass, followed by a tablespoon of mascarpone mixture, then a layer of grated chocolate.
Repeat the whole process, putting 5 halves in next (I could only fit 3 halves), followed by the mascarpone, finishing with a layer of grated chocolate and a final dusting of cocoa powder.
Cover the glasses with cling-film then chill in the refrigerator for several hours (preferably 24 hours for the flavours to amalgamate and the biscuits to soften) and serve straight from the fridge.