How to put marshmallows in a cake?

by Rachel
(Christchurch New Zealand)

Hi, I want to bake a cake with whole marshmallows in it. I tried with small marshmallows in a pre-packet mix cake and it worked ok, but the marshmallows just became coloured holes. I'd like any ideas on how to make them stay soft and gooey?
Any other ideas with marshmallows would also be great, but I live in NZ and we don't have marshmallow fluff/sauce in a jar here we only have individual marshmallow candy/sweets in a packet.