Pre-heat your oven to 180°c (160°c for fan assisted oven, Gas Mark 4 or 350°F) and place a roasting tin with some boiling water at the bottom of your oven - this helps create steam in your oven to aid the baking of your Jam Roly Poly.
Lay a couple of large pieces of tin foil (approx. 50cm long) so they overlap a little, on a flat surface. Place a piece of greaseproof paper (approx. 40cm) on top. This will be used to wrap your Roly Poly for baking.
Sift your flour into a large bowl, before adding the butter/margarine. Rub the butter/margarine into the flour with your finger tips, to create a breadcrumb-like consistency. Add the sugar and stir-through to combine.
Add the shredded suet and mix through, before gradually adding the milk, stirring through until you have a soft, slightly sticky dough - you may not need to use all the milk.
Tip the suet pastry dough onto a well-floured surface and gently knead for a couple of minutes to bring the dough together. Using a generous amount of flour on your hands, worksurface and rolling pin, roll your dough to a square approx. 25cm x 25cm. Trim the edges if necessary.
Spread the jam over your square of dough, leaving a 1-2cm gap on one edge (the furthest away to you edge is best, as it will make it easier when it comes to rolling). To roll your Jam Roly Poly, take the edge opposite the gap and start to roll it towards the gap - initially it will be more of a folding action, as opposed to a roll. Continue to roll until you reach the other end. Brush your gap with a little excess milk before rolling right over to seal your Roly Poly.
Bring your prepared tin foil and greaseproof paper to your now-rolled Roly Poly. Gently lift your Roly Poly onto the greaseproof paper - using a large palette knife can make this easier. Pull the greaseproof paper and tin foil around your Roly Poly and fold the tin foil to seal the edges. You want to create a sealed parcel around your Roly Poly, but leave lots of space around it inside, to allow it to rise as it bakes. Place your Jam Roly Poly parcel onto a tray and bake in your pre-heated oven for 50 minutes - 1 hour. Once baked, remove from the oven and open the parcel to let out the steam, and let it cool a little before serving.