The transfer of thermal energy involved in this system which is an example of conduction is "thermal energy moves from the marshmallow to your fingers as you touch the marshmallow."
Conduction is the movement of thermal energy without the actual movement of the particles of a body. They particles only collide with each other and transfer energy in the process while maintaining their mean positions.
When you touch the marshmallow, you feel the heat by conduction. Hence, the transfer of thermal energy involved in this system which is an example of conduction is "thermal energy moves from the marshmallow to your fingers as you touch the marshmallow."
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