Cut the sponge cake into 8 wedges.
Coat the sides of each wedge with jam.
Select a deep serving dish or crystal bowl and re-form the cake in it.
Sprinkle thoroughly with the sherry.
Set aside briefly while preparing the custard sauce.
Mix sugar, cornstarch, and salt together in a heavy saucepan.
Slowly stir in the milk.
Place the pan over medium heat and bring to a gentle boil.
Cook and stir about 1 minute.
Remove pan from heat.
Place the egg yolks in a small bowl and beat them lightly with a fork or a whisk.
Stirring constantly, very slowly at first, drizzle in 1 cup hot milk.
When the cup of milk is added, reverse the process and, stirring constantly, slowly pour the warmed eggs into the pan of hot milk.
Bring custard just up to a gentle boil.
Simmer 1 minute longer, stirring constantly.
Take off the heat.
Stir in the vanilla.
Let custard cool slightly.
Pour warm custard sauce over the sponge cake.
Cover with plastic wrap (to prevent a film from forming on the custard) and refrigerate until well chilled.