Place 4 tall glasses in the freezer while preparing the chocolate sauce and milkshake.
In a saucepan, bring the cream to a boil. Remove from the heat and stir in the chocolate until melted and smooth. Transfer to a bowl. Refrigerate for 30 minutes or until completely chilled.
In a bowl, whip the cream and sugar using an electric mixer until stiff peaks form. Refrigerate until ready to serve.
In a blender, process the ice cream, milk and half of the cookies until smooth.
Drizzle the chocolate sauce over the insides of the frosted glasses and pour in the milkshake. Top with the whipped cream and remaining cookies. Thread the marshmallows onto small wooden skewers and caramelize using a culinary torch. Top the milkshakes with the marshmallow skewers and drizzle with extra chocolate sauce, as desired.