For the shrimp and crayfish cocktail, place the shrimp and crayfish into a steamer and place over a pan of boiling water.
Cover and steam over a gentle simmer until the shrimp and crayfish turn pink - this should take about 4-5 minutes. Remove and cool before peeling the shellfish, discarding the shells.
For the cocktail sauce, place the eggs yolks, white wine vinegar and mustard into a food processor and blend until pale and creamy.
With the motor running, pour the oil in gradually, in a steady stream, until you have a thick mayonnaise - you may not need to use all the oil.
Place the mayonnaise into a mixing bowl. Add the tomato ketchup, Worcestershire sauce, Tabasco sauce, brandy and lemon juice and mix to combine. Season with salt and freshly ground black pepper, to taste.
Add the shrimp and crayfish to the cocktail sauce and stir to combine. To serve, arrange the Little Gem leaves in the base of each of four serving glasses.
Spoon the shrimp and crayfish cocktail into each glass on top of the lettuce leaves. Sprinkle over the cayenne pepper and serve.