Heat oven to 350°F. Shape cookie dough into 36 (1-inch) balls; on ungreased cookie sheets, place balls 2 inches apart.
Bake 9 to 13 minutes or until edges are light golden brown. Meanwhile, with kitchen scissors, cut each marshmallow in half crosswise. Immediately place 1 marshmallow half, cut side down, on top of each hot cookie.
Bake 1 to 2 minutes longer or just until marshmallows begin to puff. Cool 2 minutes; remove from cookie sheets. With fingers, gently flatten marshmallows.
Melt candy coating as directed on package. Spoon about 1 teaspoon candy coating over marshmallow on each cookie, swirling with back of spoon to nearly cover marshmallow. Let stand until candy coating is set, about 30 minutes. Store between sheets of waxed paper in tightly covered container.