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1. In a large bowl combine egg yolks and sugar. Beat with an electric mixer on medium to high speed until the mixture is thick and lemon-colored and the sugar is dissolved. Beat in Marsala, salt, and, if desired, nutmeg.
2. Transfer mixture to the top of a double boiler. Place over gently boiling water (upper pan should not touch water). Cook, beating constantly with the electric mixer on medium speed, about 13 minutes or until mixture is thick, triple in volume, and an instant-read thermometer inserted in center of mixture registers 145 degrees F and holds that temperature for 3-1/2 minutes (or until thermometer registers 165 degrees F). Stir in vanilla. Serve immediately or chill completely before serving.