Whisk the egg yolks, sugar and vanilla in a metal bowl placed over a pot of gently simmering water until the mixture doubles in volume and holds a ribbon when the beaters are lifted. Remove this from the heat. In a clean bowl, and whisk in the mascarpone cheese until smooth. Whip the egg whites to medium peak. Fold the whites into the yolk mixture and set aside.
For the syrup, heat the coffee, rum and sugar and stir just until the sugar has dissolved. Remove from the heat.
For the topping, whip the cream until it holds a soft peak and stir in the sugar and vanilla. Chill until ready to use.
To assemble, dip the ladyfingers quickly into the coffee syrup and arrange 3 into each of 4 serving dishes. Spoon a generous layer of the mascarpone filling over the lady fingers and grate a little chocolate over top. Repeat with a second layer of ladyfingers and the remaining mascarpone filling and grating of chocolate. Dollop the whipped cream over each tiramisu and dust with cocoa powder. Chill until ready to serve.