While still frozen, cut pound cakes into various-sized squares and rectangles to resemble interlocking building blocks. For the larger pieces, press large marshmallow halves into the pieces, cut sides down. Press tiny marshmallows into the smaller pieces of pound cake.
Place cake pieces on a wire rack over a tray or shallow baking pan lined with waxed paper; set aside. Place milk in a very large bowl. Gradually stir in powdered sugar until smooth and icing is of a thicker drizzling consistency.
Divide icing into four or five smaller bowls. Tint frostings using paste food coloring, leaving icing in one bowl plain, if desired. Spoon icing over cake pieces to coat each piece evenly with icing, spreading as necessary.
Allow cake pieces to stand on rack at room temperature at least one hour until icing is set. Arrange cake pieces on serving platter or tray to serve. Makes 16 servings.