Soak the gelatine in cold water. Beat the egg yolks with the sugar and lemon peel. Grate the Mahón-Menorca cheese and chop the chocolate. Bring the milk to the boil, pour over the yolks and heat the mixture to 50ºC. Make sure it does not boil. Add the drained gelatine, the cheese and the chocolate and mix thoroughly until smooth. Allow to cool and add the cream, stirring gently.
For the wine sauce: Mix the wine, brown sugar and two teaspoons of cinnamon together and reduce to thicken.
Pour the cream into the moulds and put the sponge base cut into a circle on top. Place in the freezer for three hours. Remove the little cakes from the moulds and glaze with the warm red wine sauce. Put in the freezer until set. Remove from the freezer approximately 40 minutes before serving.