Step 1:
If you don't have Sticky Note papers,
others papers are fine too.

Step 2:
Stick to Sticky Papers together

Step 3:
Valley-fold over these 2 lines

Step 4:
Valley-fold over this line, so the papers stay
together in the next step.

Step 5:
Make a paper ball

Step 6:
Unfold the paper ball and the fold of step 4

Step 7:
Prefold over these 2 lines

Step 8:
Roll the paper up, lay the end on the right over
the place indicated by the blue rectangle

Step 9:
Hold the model the same as I do.
Push the edge downwards over this prefolded line.

Step 10:
Fold the spot indicated by the arrow downwards
over the prefolded line too

Step 11:
Fold this place of the edge downwards

Step 12:
And fold this spot downwards

Step 13:
This side of the Marshmallow is closed now

Step 14:
Repeat steps 9 to 12 on the other side,
see blue line.

I used a real Marshmallow bag to store my origami Marshmallows


This DIY video also has instructions to fold the Marshmallows: