How to Make It
Preheat the oven to 350°. Using a sharp knife, halve 4 of the peaches lengthwise and remove the pits. Using a melon baller or a teaspoon, scoop about 2 teaspoons of flesh out of each peach half, leaving a 1/2-inch-thick shell all around. Coarsely chop the peach flesh and transfer it to a small bowl. Peel and coarsely chop the remaining whole peach and add it to the bowl. Stir in the crushed amaretti cookies.
Lightly butter an 8-inch-square baking dish and arrange the peach halves in it, cut side up. Stuff each peach half with 2 tablespoons of the peach-amaretti filling. Bake for about 40 minutes, until the peaches are tender and the filling is golden brown.
Meanwhile, bring a medium saucepan of water to a simmer; keep warm over moderately low heat. Fill a large bowl with ice water. In a large stainless steel bowl, using a hand mixer, beat the egg yolks with the sugar at medium speed for about 1 minute. Add the Marsala, saffron threads and a small pinch of salt. Continue beating at medium speed until the mixture is thick and very frothy, about 3 minutes longer.
Set the stainless steel bowl over the saucepan of simmering water and beat the zabaglione until doubled in volume and the consistency resembles softly beaten egg whites, about 8 minutes. Transfer the bowl to the ice water bath and continue beating the zabaglione at medium speed until it holds very soft peaks, about 2 minutes. Serve immediately with the warm peaches.