Put all the ingredients in a heatproof bowl. Rest the bowl over a saucepan of gently simmering water, making sure that the bowl doesn't touch the water.
Beat the mixture using a hand-held electric whisk or balloon whisk for about 5 minutes, until it is very thick and foamy – the whisk should leave a trail when it is lifted from the bowl.
Remove the bowl from the heat and whisk for a further 2 minutes. Spoon the sabayon into glasses or a warmed jug and serve immediately (it will collapse if left to stand) with thin shortbread biscuits.