You can toast marshmallows over an open fire, hot coals, or a gas flame. If you are using wooden skewers, be sure to soak them thoroughly in water first to prevent them from scorching.
SourceMartha Stewart Living Television
Preheat a grill to medium (if you are using a charcoal grill, coals are ready when you can hold your hand 5 inches above grill for just 5 to 6 seconds) . Place a piece of chocolate on each of 10 graham crackers; set aside. Press each marshmallow onto the tip of a skewer. Cook marshmallows, turning occasionally, until toasted to desired doneness.
Using a fork, push each marshmallow onto a chocolate-covered graham cracker. Sandwich with remaining graham crackers. Serve immediately.