Thank you for confirming I have picked up the correct family
I note you are on the Orkneys, did you know that the years are not digitalised consecuetively which is probably why we have the 1802 - 1808 gap!
There is a familysearch resource centre on the Orkneys?
https://familysearch.org/locations/centerlocator?cid=hp2-1047As you realise there is a limited amount of information to be gleaned from the internet, particularly if the records have not been digitalized. At the familysearch centres you can order the Parish Register films for BMD of St Georges Milllom for a small fee ( used to be free) They will also copy the information you require again a small fee
You and your friend will then be able to 'page turn' extracting all references to the surname COLE building up the family tree. There may be local notes in the margin indicating which COLE member they are.
I would start with baptisms from the date of marriage of William 1802, filling in the blank years, moving to deaths so you are left with living children to 'marry off'
Did you know if you put the surname and place in say the 1841 census search box say COLE / MIllom it will bring up all the persons with that name so you will be able to build family units....
If the marriage is by licence you need to obtain this from the RO
Jx
Have a look at this site lancashireopc.org
PPS Marriage entries may lead to other family members as in witnesses.......