Mix the cinnamon and sugar together on a plate or shallow dish. In a second dish add a little water. Place a glass rim side down into the water dish then put it in the cinnamon sugar dish and twist till the sugar sticks to the rim. Repeat for each drink you are making. Set glasses on their base and set aside. You can store the remaining cinnamon sugar in a cool dark place.
In a cocktail shaker full of ice add the Rumchata and Marshmallow Bourbon. Shake until cold then strain into the cinnamon sugar rimmed martini glasses.