Place the egg yolks, and the sugar in a bowl and mix them with a whisk until the mixture is thick and homogeneous.
When they are well whipped, thick, and frothy, transfer the bowl to a saucepan full of hot water for cooking in a bain-marie over medium heat so that the water continues to be hot (the water must not boil).
Add the marsala and continue whipping with the whisk until the cream has thickened and very velvety.
Remove it from the heat, pour the zabaione cream into the glasses, sprinkle some chocolate shavings, and it is ready to be served ..