In a rounded bottom bowl add the egg yolks and the sugar.
With a hand mixer, mix the two ingredients well until you have a smooth whitish cream.
Slowly add the Marsala wine and continue to mix. Once the Marsala has been completely absorbed into the cream, put the bowl in a water bath and continue to mix for another 10-15 minutes. At this point the cream will have swollen, firmed up and look velvety. Make sure the water never boils while you are mixing as you do not want lumps in the cream.
Remove from water bath and serve warm.