1Whisk egg yolks in a medium bowl to blend, then gradually add sugar, whisking constantly until mixture is thick, smooth, and pale yellow. Using a rubber spatula, gently fold in mascarpone, rum, and salt; set aside.
2Place espresso in a small bowl. Working in batches, gently mix and turn cookies in espresso 20 seconds to soak. Divide cookies among glasses and top each with 1/2 cup mascarpone mixture. Chill at least 1 hour.
