I have to admit that the classic way of making this is in a bowl fitted over barely simmering water – which does take 20 minutes' whisking; so for busy people like us, adding a level teaspoon of cornflour means you can whisk it over direct heat without it splitting and you won't know the cornflour is there.
This recipe is taken from Delia Smith’s Complete Cookery Course, Delia Smith’s Complete Illustrated Cookery Course and Delia's Complete How to Cook Serves 4
Begin by putting the egg yolks in a medium-sized bowl and then add the sugar and the cornflour. Now, using an electric whisk (or hand whisk if you are feeling energetic), whisk everything together until light and fluffy – about 3 minutes – then pour in the Marsala a little at a time and keep whisking until smooth.
Next, pour this mixture into a medium-sized saucepan and put over a low to medium heat. Keep whisking the mixture all the time until it thickens, which will take about 5-10 minutes (depending on whether you use a hand or electric whisk). When it has thickened, it should be light and foamy. It is best served warm fairly soon after making it, and is divine served with a fruit compote.