In a medium bowl, use an electric beater to whip the egg yolks and sugar until thick and creamy. Add the mascarpone and marsala, beat for 2 minutes until well combined and thickened. Be careful not to overbeat.
Whip egg whites with an electric beater in a clean, dry bowl until soft peaks form.
Gently fold half of the fluffy egg whites into the mascarpone mixture using a big metal spoon until well combined. Repeat with the remaining egg whites until the mixture becomes pale, thick, and creamy.
In a medium bowl, mix the coffee and extra marsala. Dip 6 biscuits one by one into the coffee mixture, then place them in the base of six 310ml (1 1/4-cup) ramekins or glasses, gently pressing each biscuit down. Drizzle each with 1/2 teaspoon of the coffee mixture.
Layer one-third of the luscious mascarpone mixture over the biscuits and sprinkle with 1/4 teaspoon of cocoa powder. Repeat the layers twice more, dipping the biscuits in the leftover coffee mixture each time. Finish with the final layers of biscuits, coffee, mascarpone, and cocoa. Wrap loosely in plastic and chill in the fridge for at least 6 hours, or leave overnight for ultimate flavor melding.
Garnish with a sprinkle of the remaining cocoa powder before serving.