Place the egg yolks in a large mixing bowl. Add the
caster sugar to the egg yolks and whisk until the
mixture is thick, very pale and doubled in volume.
Place the bowl containing the egg yolk and sugar
mixture over a saucepan of gently simmering water.
Add the Marsala and continue whisking until the
mixture becomes warm. This
may take up to 10 minutes.
Pour the mixture, which
should be frothy and light, into 4 wine glasses.
Serve warm.