Method

1. Place egg yolks and sugar into a large bowl and whisk for about five or six minutes, until it is thick and pale yellow. Set the egg mixture over a bain marie and gradually drizzle in the marsala, whisking all the time. Continue whisking until the mixture doubles in volume and is holding soft peaks.
2. This will take about twelve to fifteen minutes. It is important not to let the eggs cook around the edges of the bowl. Spoon into 4 glasses and serve warm or chilled.
3. For the orange shortbread:
4. Preheat the oven to 180°C/Gas mark 4. Put the flour, orange zest and sugar into a bowl, rub in the butter as for short crust pastry.
5. Gather the mixture together, add just sufficient juice to bind. Knead it lightly and roll out to 7mm thick. Then cut it into squares or any preferred small shape.
6. Pop in the oven and bake until the biscuits are pale brown, for about eight to ten minutes. Remove them from the oven, cool on a rack and serve with the zabaglione for a delicious Italian dessert.