Beat the sugar and egg yolks together until white, fluffy and voluminous. The mixture should be smooth (sugar dissolved) when rubbed between your fingers.
Add the mascarpone and beat for another 2 minutes until smooth and thick.
Whip the cream to stiff peak stage then gently fold into the mascarpone mixture.
Combine the espresso and Kahlua / Marsala in a shallow bowl.
Dip the finger biscuits into the coffee mixture then layer with the mascarpone mixture in a serving dish of your choice.
Dust with cocoa powder and refrigerate for at least 4 hours but ideally overnight before serving.