Fill the saucepan with about 2–3 inches (5.1–7.6 cm) of water, and place it on high heat. Set a heatproof bowl on top of the saucepan to create an improvised double boiler. Then drop bits of the chocolate bar into the bowl. The steam from the water will melt the chocolate.
Stir until it melts completely. Stir in a dash of cayenne pepper until you no longer see any specks of red.
Add a handful of marshmallows and stir until they are completely melted. Add a few more if you'd rather have a sweeter cup.
Once the mixture is smooth, stir in just a bit of milk until the mixture is again smooth. Repeat this process until you have used all the milk. Do this slowly over the course of about 4 minutes.
Turn off the heat and immediately (but carefully) pour into a large mug. Top with marshmallows.