In a sauce pan, whisk the egg yolks and sugar together. Turn the heat to low and cook, whisking constantly, until thickened.
Slowly add the rum. Continue cooking, whisking constantly, until thickened again. Do not allow the custard to boil.
Remove the pan from the heat and let the custard cool for 20 - 30 minutes. Gently fold in the whipped cream.
Spoon the sabayon into stemmed glasses and chill until ready to serve. Dust lightly with cocoa or cinnamon before serving.