You could go to a hardware store and get a lucite tube the size of the marshmallows and a solid rod that fits inside it. Be sure to smooth and polish the end that you plan on impaling yourself or your partner with. Lube the tube and insert it up your butt. Deeper is better (about 8") because the marshmallows won't all collect in the rectum that way. If you can get a good sized dildo in, you can do this too. Don't ask how I know this! :o Place a line of marshmallows in the tube and use the rod to push them in. It's not unlike the method used in "gerbilling" which we have never tried and never plan to.
As far as our using marshmallows is concerned, it is indeed an infrequent activity that we usually use in an S&M scene. My husband can take a whole bag of Campfire marshmallows after he has been thoroughly cleaned out, I can do much less. We wet them several at a time and when the surface gets slippery and slimy, I have him bend over or lay on his side and I insert them one at a time. It actually helps for him to either stand up after a bunch have been inserted or lie down and completely stretch out straight as he clenches his anus and sucks them up his colon. If you wet too many at once in preparation for insertion, they just melt and get too soft to insert. He can hold them for 20-30 minutes, after that, they get very soft inside and the sensation is like having diarrhea that becomes very hard to hold. At least it's white. ;D The worst I can say is it is sticky when it dries around the butt, but showers are always nearby.
As far as pros and cons go, DO NOT do this if you have diabetes. It is fun, albeit messy. Heck, sex and the entire enema scene is messy!