I'm serious, you just can't! Despite it being largely made of air, the pockets aren't connected, so the air just doesn't flow out like a sponge when you try to squeeze it.
During the BBQ last night, Jarrel and I wanted to see if we could compress the marshmallow enough such that it'd sink in water. On first try, the marshmallow just forced against our hand like soft plasticine. So that didn't work. We decided maybe water might help, but then it just got a bit slimy and basically found any gap in our hand and just slipped through it! It's totally uncompressible! What's more surprising is that after releasing, it returns to it's original shape. To confirm that it's porous, we ripped it apart and pressed it. We heard some fizzing-like noises, and that confirmed it's porousity. So a marshmallow is an uncompressible porous solid that is flexible while being insoluble in water but possesses shape memory. I think it's one hell of a unique material.