01 - Preheat oven to 350°F. Line two baking sheets with parchment paper.
02 - Whisk flour, cocoa powder, baking soda, cinnamon, nutmeg, cayenne, and salt together in a medium bowl.
03 - Cream softened butter with brown sugar and granulated sugar in a large bowl until light and fluffy using an electric mixer.
04 - Beat in the egg and vanilla extract until fully incorporated. Add milk and mix well.
05 - Gradually add dry ingredients to the wet mixture, mixing until just combined.
06 - Stir in chocolate chips until evenly distributed.
07 - Scoop about 2 tablespoons of dough; flatten in your palm and encase a marshmallow in the center, sealing edges. Continue with remaining dough and marshmallows.
08 - Place cookies 2 inches apart on prepared baking sheets.
09 - Bake for 9 to 11 minutes until cookies are set yet still soft.
10 - Cool cookies on the baking sheet for 5 minutes, then transfer to a wire rack to cool completely.