1. In a large bowl, whip the mascarpone, egg yolks, and sugar.
2. Whip the eggs until they are firm, and gently add them to the mascarpone mixture using a metal spoon. Set aside.
3. In a bowl, mix the coffee and Marsala together. Dip the biscuits one by one – without soaking them – into the coffee mixture.
4. Place the biscuits on one side in a large, deep serving dish with a flat bottom. Cover with half of the mascarpone cream.
5. Add another layer of dipped biscuits, and cover with the remaining cream.
6. Refrigerate for at least 2 hours. Serve cold, in small portions.