Fill a medium saucepan with 1 to 2 inches (2.5 to 5 cm) of water and bring it to a gentle simmer over medium-low heat. Choose a heatproof mixing bowl that sits over the pan without its bottom touching the water.

In the heatproof bowl, whisk the egg yolks, sugar, Marsala, vanilla, and salt until smooth. Set the bowl over the barely simmering water.

Whisk constantly, scraping around the sides and bottom of the bowl, until the mixture is pale, thickened, and reaches 160°F (71°C) on an instant-read thermometer, about 8 to 10 minutes. The whisk should leave ribbons on the surface for a few seconds. Do not let the water boil hard.

Remove the bowl from the heat. Set it over a bowl of ice water and whisk occasionally until the zabaglione is cool to room temperature, about 10 minutes. Do not let water splash into the custard.

In a separate cold bowl, whip the heavy cream to medium peaks. It should hold a soft curl when the whisk is lifted but still look smooth.

Fold about one-third of the whipped cream into the cooled zabaglione to lighten it. Gently fold in the remaining whipped cream just until no white streaks remain.

Divide the cream among 6 small dessert glasses. Cover and refrigerate until chilled and softly set, at least 1 hour. Serve with berries and crisp cookies, if desired.