Step 1 Place each liqueur in a separate small bowl or measuring cup. Place 4 1/2 sheets each of the gelatin, one at a time, in each of the three liqueurs, breaking the sheets if necessary to thoroughly submerge them in the liquid. Cover each of the liqueurs with plastic wrap to prevent evaporation while the gelatin softens.
Step 2 When the gelatinis softened in the Kahlúa, pour the Kahlúa and gelatin in a small saucepan. Heat the saucepan over low heat, stirring constantly, until the gelatin is completely dissolved and incorporated in the liqueur. If there are small particles that will not dissolve, strain the liquid to remove the solids.
Step 3Pour the liquid into the bottom of a 4-by-8-inch loaf pan lined with plastic wrap. Place the pan in the refrigerator and chill until the gelatin has set, about an hour.
Step 4Repeat with the Baileys, and then the Grand Marnier, pouring the newly prepared liqueur on top of the set liqueur in the mold. After all three layers are in the mold, refrigerate until completely set, preferably overnight.
Step 5To serve, remove the layered gelée from the mold. Cut into slices or squares to serve. The jelly shots will keep for 2 days, refrigerated.