Start with a background. You or the child can draw the tree and branches. Or, for something a bit more 3-D, use dry spaghetti noodles (kids will get a kick out of breaking the noodles into small branches) and glue them to the paper. Let it dry.
Then take your paint and blob it on a paper plate (or, if you want to go for edible, get white frosting and mix in food coloring and possibly a few drops of water to make it thinner).
The kids can use their fingers to dip the marshmallow in the paint and blot 'leaves' on the tree, or you can attempt to stick a dry noodle (as seen in the photo) or a toothpick in the sugary goodness - but be aware that the marshmallow may tend to slip off the handle.
If you do use paint, be sure your child is clear on the fact that the painted marshmallows are not for eating!