Cut the sponge cake through the middle to make two layers. Place the egg yolks, sugar and mascarpone into a bowl and whip together until smooth and creamy. Cut the sponge cake into individual pieces to line the bottom of whatever container you are using. Place a piece of cake into the glass, pour over a small amount of coffee, then a spoonful of the mascarpone mixture. Next pour on a spoonful of heavy cream, and top with a final piece of cake. Sprinkle the cocoa on top to cover. Put the glasses into the refrigerator to chill for at least one hour. When ready to serve add the dark rum to taste.