Rinse and dry the sweet potatoes.
Brush the outside of the potatoes with the oil and bake them at 400 F for 1 hour.
Let them cool until they are cool enough to handle. Slice in half, length-wise, and scoop out the inside. Leave about 1/4" of the sweet potato on the skin.
Brush the inside and outside with the oil and bake upside down on 450 F for 10 minutes. Flip and bake for another 10 minutes.
Fill the sweet potato halves with the marshmallows and sprinkle the brown sugar over them. Broil for 2 minutes, or until the marshmallows start to brown.