Put the fennel in a large bowl of ice-cold water with a squeeze of lemon juice. Leave for at least 30 mins to crisp up. Drizzle more lemon juice on the avocados to stop them browning. Whisk together all the ingredients for the Marie Rose sauce in a bowl with seasoning. Set aside to chill in the fridge.
Just before serving, drain the fennel and toss with the remaining lemon juice, dill and some seasoning. Layer the lettuce, avocado, fennel and crab in 4 x half-pint glasses – or tumblers or jam jars. Add a spoonful of sauce to each, then repeat the layers until the glasses are full, finishing with the Marie Rose sauce. Sprinkle a pinch of cayenne pepper over each cocktail and serve with lemon wedges and toast, if you like.
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