For the biscotti, preheat the oven to 180C/160C Fan/Gas 4. Tip the almonds onto a baking tray and roast them for a few minutes until fragrant.
Using a vegetable peeler, peel off 1cm/½in wide strips of zest from the oranges. Cut the strips into 5mm/¼in pieces. Place in a pan of water and bring to boil for a couple of minutes. Drain and repeat this blanching process 3 times.
Fill a pan with 150ml/5fl oz water and 300g/10½oz caster sugar and boil the strips of peel until soft. Drain the peel, reserving the liquid.
Put the orange-flavoured sugary water into a large pan and boil rapidly until caramelised. Carefully pour the mixture onto a non-stick baking tray and cool as quickly as possible, then transfer to the fridge. Once chilled, remove from the baking tray and break it into a blender. Blend until it becomes like fine sugar. Measure out 200g/7oz of this sugar and blend with 100g/3½oz of the flour.
In a large bowl, mix together the sugar/flour mixture, the remaining 250g/9oz of flour, baking powder and the reamining caster sugar. Add the eggs, rosemary, blanched almonds, dried cranberries and orange peel. Use your hands to mix into a fairly solid dough - some extra flour may be required.
Split the dough into 2 pieces. Use your hands to roll each piece to a sausage shape about 5cm/2in thick. Place each piece of dough on a lined baking tray and use the palm of your hand to flatten them slightly. Bake for 30 minutes. Remove from the oven, and allow to cool for a few minutes.
Turn down the oven to 160C/140C Fan/Gas 3. Chop the biscotti on the diagonal into slices about 1cm/½in thick. Separate the slices, place on lined baking trays and bake for another 20 minutes. Transfer to a wire rack to cool.
While the biscotti are in the oven for the second time, prepare the zabaglione dip. Beat the egg yolks, sugar and cinnamon in a heatproof mixing bowl.
Once the mixture is pale, place the bowl on top of a pan of simmering water. Add the Marsala wine and liqueur and whisk for about 5 minutes until smooth and creamy. Whip the cream to soft peaks in a separate bowl then fold into the egg mixture.
Serve the biscotti with the zabaglione dip alongside.