Soften gelatin in cold water; let stand 5 minutes.
Beat egg yolks in top of a double boiler until thick and lemon colored; gradually add sugar, beating well. Set aside.
Combine gelatin and milk; stir until gelatin dissolves. Gradually add milk mixture to egg mixture in double boiler, stirring constantly with a metal spoon. Cook over boiling water until mixture thickens and coats the spoon. Cool to room temperature. Stir in walnuts and rum. Transfer to a medium mixing bowl.
Beat 1 cup whipping cream until soft peaks form. Fold into gelatin mixture. Spoon into a lightly greased 6-cup mold. Chill overnight or until firm.
Unmold onto a serving platter. Beat remaining whipping cream until soft peaks form; spoon over mold, and sprinkle with chocolate. Spoon into individual serving dishes.