Fill a large saucepan a third of the way full with water & bring to a gentle simmer over a low heat.Your mixing bowl should be able to sit in the saucepan without touching the water. In the meantime, place the egg yolks, caster sugar & salt into a large, heatproof mixing bowl then mix with a handheld electric mixer until the sugar has dissolved & the mix is light & fluffy. This will take around 3-4 minutes.
Next, gradually whisk the marsala into the egg mix then place the bowl over the pan of simmering water.
Continue whisking with the electric mixer (on a medium-low speed) until the egg mix has thickened & increased in volume. This will take roughly 10-15 minutes.When the zabaglione is ready, you'll be able to draw a figure of eight on top, with your whisks.If the pan of water starts boiling, remove it from the heat momentarily whilst still whisking the egg. Remove the mixing bowl from the heat/pan of water & continue whisking for 2-3 minutes whilst the zabaglione cools down.
Next, place the mascarpone into a separate mixing bowl & whisk with the electric mixer until smooth (don't worry about cleaning the zabaglione off the whisks!). Be careful not to overmix the mascarpone, it only needs 30 seconds or so of mixing!
Spoon a third of the cooled zabaglione into the mascarpone & gently whisk together until just combined, using a regular whisk (not electric!).
Gently whisk in the remaining zabaglione, in two batches.