Bring a pot of water to a simmer over medium-low heat. Combine the egg yolks and sugar in a metal or glass heat-resistant bowl and whisk until foamy. Set the bowl over the simmering water, without letting the bottom touch the water, and continue to whisk constantly. Gradually pour in the Marsala while continuing to beat - don't let it boil. Keep working-out that arm and whisk vigorously for a good 5 minutes, until the custard has doubled in volume and is very thick and yellow.