The marshmallow is merely a way to float the bait up off the bottom. Trout fishermen do this because after finding food in a swimming pool all of there life, hatchery trout need a little help (OK, they need a lot of help :-) finding there meals.
The worms we are talking about here are just the standard dozen to the little styrofoam box, night crawlers.
Personally, if I thought floating my worm off of the bottom would help, I would simply inject some air into the worm with a hypodermic.

Peace,
Fish

PS, Hey Jay, since your still learning about this stuff, you should probably understand a few things about live bait. Here are a few of links for you to check out:

http://www.trophybassonly.com/id103.htm

http://www.trophybassonly.com/id132.htm

http://www.trophybassonly.com/id138.htm

Hope this helps,
Great fishing to you,
Fish Chris