Place custard, cream cheese, icing sugar and vanilla in a food processor and process just until smooth. Set aside.
Dip both sides of each sponge finger in Marsala wine for a few seconds. Divide half the sponge fingers between 4 x 300ml glass jars or serving glasses. If necessary, cut the sponge fingers to fit. Top with half the custard mixture and half the berries. Top with a second layer of sponge fingers, remaining custard mixture and berries. Cover and refrigerate for at least 2 hours. Just before serving, dust with icing sugar.