How big would depend on if you want to use mini marshmallows or the regular ones.
There are tons of instructables on the web to make them in varying styles. This is probably the simplest: http://www.familycapers.com/download...ow_shooter.pdf
Side question: will this be done outside? At least some of the marshamallows will likely get squished underfoot. Speaking from experience with marshmallow shooter wars, the mess can be tremendous. It'll definitely ruin carpet, and it will make even tiled floors pretty gloppy.