Put the egg yolks and sugar in a saucepan and set the saucepan in a skillet of barely simmering water. Or use a double boiler. Beat with a rotary beater or portable electric mixer until egg yolks are thick and lemon-colored.
Add the cognac gradually, beating constantly. When the sauce is thickened, chill it.
When ready to serve, whip the cream and fold it into the cognac mixture.