a pastry bag with a medium round tip (optional); a kitchen blowtorch
For the meringue: Put the egg whites in the base of a stand mixer or a large bowl (if using a hand mixer). Beat the whites on medium until frothy, about 1 minute. Turn the mixer to medium-high speed, then slowly add the sugar, beating until the sugar is fully incorporated and stiff peaks form, another 3 to 5 minutes. The mixture should be thick and glossy. Transfer to a pastry bag with a medium round tip (or use a ziptop bag and snip 1/2 inch from the corner with scissors to create a pastry bag) and set aside.
For the milkshake: Put the ice cream, milk, rum, if using, marshmallows and cookies in a blender and mix on high speed until fully combined. Pour into glasses and top each milkshake with a swirl of meringue. Using a kitchen blowtorch, carefully torch the meringue to toast until golden brown. Serve immediately.
Propane gas torches are highly flammable and should be kept away from heat, open flame and prolonged exposure to sunlight. They should be used only in well-ventilated areas. Follow torch manufacturer's instructions for use.
Consumption of raw or undercooked eggs, shellfish and meat may increase the risk of foodborne illness.