Beat the egg yolks with the sugar until the sugar has dissolved and the mixture is light and fluffy and leaves a ribbon trail when dropped from the whisk. Add the mascarpone and beat until the mixture is smooth.
Whisk the egg whites in a clean dry glass bowl until soft peaks form. Fold into the mascarpone mixture.
Pour the coffee into a shallow dish and add the brandy (or marsala or port). Dip some of the sponge finger biscuits into the coffee mixture, using enough biscuits to cover the base of a 25 cm square dish. The biscuits should be fairly well soaked on both sides but not so much so that they break up. Arrange the biscuits in one tightly packed layer in the base of the dish. *(I like it boozy so I dash a little more alcohol over the top at this point).
Spread half the mascarpone mixture over the layer of biscuits (and I like to add some grated chocolate here also). Add another layer of soaked biscuits and then another layer of mascarpone, smoothing the top layer neatly.
Leave to rest in the fridge for at least 2 hours or overnight.