Beat the cheeses, rum and sugar with electric beaters until light and creamy, set aside.
Pour the coffee into a large shallow dish. Quickly dip 1 side of half the ladyfingers into the coffee and lay closely together with the dipped side down over the base of a large flat-based serving dish or large cafe au lait cups.
Spread half of the cheese mixture evenly over the ladyfingers. Dust with half the cocoa then repeat layers with coffee-dipped biscuits and cheese. Cover with plastic wrap and refrigerate for at least 6 hours or overnight. Dust with remaining cocoa just before serving.
