Preheat the oven to 200°C/180°C fan/400°F/gas mark 6. Place a roasting tin full of boiling water on the bottom shelf, with an oven rack directly above it.
Cut a large piece of baking parchment, about 30 x 40 cm (12 x 16 in), and one of tin foil. Grease the parchment with butter and place it on top of the foil.
Mix the self-raising flour and a pinch of salt in a large bowl. Add the cold butter and rub it in using your fingertips until it resembles fine breadcrumbs.
Stir in the suet and sugar.
Add the vanilla extract and most of the milk. Stir to form a soft but not too sticky dough, adding the rest of the milk as necessary.
Turn the dough out onto a lightly floured surface and knead briefly until it is smooth.
Roll the dough out on a floured surface to a rectangle about 25 x 32 cm (10 x 12 ½ in). Spread a layer of jam all over the dough, leaving a 1.5 cm (½ in) border.
Roll the dough up gently from one of the short edges. Brush the join with water and press gently to seal. Pinch the ends to seal.
Place the roll seam side down on the greaseproof paper.
Loosely roll it up inside the paper and foil, leaving plenty of room for the pudding to expand as it bakes. Twist the ends like a cracker to seal it.
Place the parcel directly on the rack above the roasting tin and bake for 1 hour. The pudding should be nicely browned when it is ready.
Leave to cool in the foil for 5-10 minutes, then unwrap and serve warm with custard and maybe an extra dollop of jam..