Meanwhile, prepare the tail feathers. Pierce a marshmallow with a toothpick or skewer, quickly submerge it in a small glass of water, dab the excess water on a paper towel, and immediately coat it with sprinkles. (It’s helpful to hold the marshmallow over a bowl to catch extra sprinkles.) Carefully remove the toothpick and set the marshmallow on a piece of wax paper. Repeat for all the marshmallows, making five of each of these colors: red, orange and yellow. Allow the marshmallows to dry as long as possible.