Fill a large saucepan with several inches of water, and bring to a boil over high heat. Reduce the heat until the water maintains a strong simmer.
Place the egg yolks, Marsala wine, and sugar into a metal mixing bowl.
Place the bowl over the simmering water. Beat constantly with a wire whisk until the zabaglione turns pale yellow and thickens to the consistency of softly whipped cream. Scrape the zabaglione into a clean mixing bowl, and set over ice, stirring occasionally until cold. Once cold, fold in the whipped cream.
