Begin by placing the egg yolks and sugar together in a large bowl. Place the bowl over a saucepan that have will have filled about halfway up with water, making a kind of double-boiler.

Whisk the yolks together until they are completely amalgamated and the mixture has taken on a glossy, appearance and texture of a loose mayonnaise.

Turn on the flame, moderately high. Keep whisking as you add the Marsala, bit by bit, into the egg and sugar mixture.

Keep on whisking the mixture as the water in the saucepan comes to a boil. The heat of the steam rising from the water will begin to warm the mixture, and it will begin to thicken. As it thickens, it will begin to froth and grow in volume.

Keep on whisking while the mixture continues to heat up; it will thicken even more and gain even more volume. Your zabaione will be done when ribbons form as you whisk it.

Take the zabaione off heat and continue to whisk as it cools down a bit. You can cool things down faster if you place the bowl inside a large bowl filled halfway with ice.