Marshmallows can be bought from the Camper Villager.

Marshmallows can be cooked. This is explained in cooking.
Plain Marshmallows restore 1 hunger
Marshmallows on a Stick restore 1.5
Roasted Marshmallows restore 3
Burned Marshmallows restore 0.5
All Marshmallows restore 0.3 saturation. roasted .6

Marshmallows have to be poked on a stick if you want to cook them.

After that, just hold it in your hands, and point it to a campfire !
With a little patience, your marshmallow will be cooked in no time.
Just don't wait to long, or you'll burn it ...