Using hand-held beaters, a stand-mixer or a Thermomix, beat the butter, sugar and vanilla until pale, soft and creamy. Add egg and beat until combined.
Alternative adding half of the milk and half of the self-raising flour and mixing through with a spoon. Add the other half and mix until combined.
Bake the sponge cakes in lightly greased patty pans until light, fluffy and just golden. Allow to cool in the tray for 10 minutes before transferring to a wire rack to cool completely.
Prepare the jelly and place into the fridge for 1-2 hours or until thickened but not completely set. Using a slotted spoon, dip each of the cakes into the thickened jelly and allow any excess to drip off.
Toss the cakes in the coconut until well covered on both sides.