Preheat oven to 350 degrees. Line 2 baking sheets with parchment paper. Set aside.

In a large bowl, beat butter and 2/3 cup sugar at medium speed until fluffy. Add egg, beating until incorporated.

In a separate medium bowl, whisk together flour, powdered milk, cocoa, baking soda and salt. Gradually add flour mixture to the butter mixture, and again beat well until combined. Add in vanilla.

In a small bowl, stir together remaining 1/3 cup of sugar and cinnamon. Roll dough into 1-inch balls, and then roll into sugar mixture. Place on prepared pans, spacing 2 inches apart. bake until cookies are set, approximately 8 minutes. Use this time to cut your marshmallows into thirds. Once your cookies come out, work quickly and press 1 marshmallow third into each cookie, cut side down. Eat the middle of the marshmallow since it will have two cut sides.

Set oven to broil. Watching carefully, broil until marshmallows are lightly toasted. Remove from oven and let cool.