Separate egg yolks and egg white and put your yolks in a little bowl, suitable for a bain-marie. Save an egg shell as your are going to use it as a measuring spoon.
Add sugar and marsala to the yolks. To measure Marsala pour it in a broken egg shell and fill half of it. Whisk the ingredients until well combined, then put them in a double boiler.
It is important not to heat the yolks abruptly, as you might find yourself with a prosaic batch of scrambled eggs. Keep whisking the yolks over slowly simmering water until you'll obtain a thick and smooth zabaione. it will require from 5 up to 10 minutes.
You can serve it hot or cold. If you prefer a cold version, put the bowl in a bigger bowl with ice and water and keep stirring until cold.