In a bowl of a double boiler (a metal bowl fitted over a saucepan of boiling water that is not touching the bottom of the bowl).
Place egg yolks and sugar in the bowl of the double boiler, reduce heat to low, and cook the mixture constantly stirring it for 10 minutes. The temperature should be 160°.
Remove from the heat and place the egg mixture in the bowl of a mixer and whip *(with a whip attachment) until thick.
Stir the Kahlua into the custard mixture.
Then allow the mixture to cool for 5-10 minutes.
Then you'll mix the mascarpone cheese into the egg mixture, beating it until creamy.
In another bowl with mixer whip the heavy cream until stiff peaks form.
Then you'll gently fold the whipped cream into the egg mixture. (Gently folding will take 5 minutes, do it very slowly, turn the mixture with a spatula a half-turn of the bowl, then stop, then do it again, rotate the bowl as needed. Do not stir it in, it will deflate and the end result will be deflated. This takes time, and it totally worth it.