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Preheat the grill to high and line a large baking sheet with parchment. Put all 16 malted milks on the tray with a square of milk chocolate on 8 and a marshmallow on the remaining 8. Grill until both are melting.
Sandwich the two different types on top of each other until oozing at the edges and eat while hot or dunked in a hot chocolate for extra chocolately flavour.