Pour the Marsala into a wide shallow pan (large enough to take all the peaches in a single layer) and bring to the boil. Lower the heat, add the vanilla pod and simmer gently for 15 minutes until reduced by nearly two thirds to about 200ml/7 fl oz.
Carefully tuck in the peaches and cook gently uncovered for about 5 minutes, until starting to soften, turning frequently. Leave to cool in the pan, then tip into a big serving bowl and chill for at least an hour, turning occasionally, until you are ready to serve. (You can prepare to this stage up to 8 hours ahead.)
To serve, spoon the peaches and juices into bowls and serve with a dollop of clotted cream and the biscuits.