To make the caramel, add sugar and water to a medium saucepan and bring to the boil, over a medium heat. Do not stir with a spool, swirl the pan instead. Bring to a boil and allow sugar and water to brown.
Once sugar has browned to a medium amber colour, remove from heat and immediately stir in heavy cream and butter. Mixture will boil and foam. Stir well. Add salt and stir well to incorporate.
In a medium saucepan, warm the milk.
To assemble, place some of the marshmallows on a tray. With a blow torch, toast the top of each.
Add 3 to 4 tablespoons of warm caramel to each glass. Stir in warm milk. Top with toasted marshmallows and drizzle with more caramel.