Mix each jelly separately with a third of the water and leave to soak for 10 minutes. Stir in 1/3 of the sugar and heat while stirring; do not let cook.
Pour the yellow and green jelly into small cups, the red into a slightly larger one. Chill for 3 hours.
Whip the cream until stiff and pour in the icing sugar and cream setting agent. Briefly dip the cups in hot water and plunge the jelly onto a large platter in a snake shape. Pour the cream into a piping bag with a star nozzle.
Squirt small dabs onto the red head as eyes, nose and antennae; Press coated tablets or biscuit rolls on top.
Sprinkle the rest of the cream on both sides of the caterpillar and sprinkle with chocolate sprinkles.