Put the cream in a mixing bowl. With a hand-held electric mixer on medium speed, whip the cream until it forms medium-firm peaks that droop just slightly when the beaters are lifted out; during the last few seconds, beat in the Grand Marnier. Cover the bowl with plastic wrap and set aside in the refrigerator.

Bring 2 to 3 inches (5 to 7.5 cm) of water to a boil in a saucepan.

Meanwhile, select a stainless steel mixing bowl slightly larger than the saucepan's diameter, so that it can rest on top of the pan without its bottom actually touching the water. Away from the pan, put the egg yolks and the sugar in the bowl and, with a wire balloon whisk, whisk them together briskly for about 30 seconds. Continue whisking while pouring in the Champagne in a thin, steady stream.

Reduce the heat under the pan to maintain the water at a steady simmer. Put the stainless-steel bowl on top of the pan and, steadying the bowl with one hand protected by a heat pad or oven glove, whisk the mixture briskly and continuously until it triples in volume and is light and fluffy, about 4 minutes. To check for doneness, dip a tablespoon into the mixture to coat its back. Gently blow on the back of the spoon and, if it stays coated, the sabayon is done.

Remove the bowl from the pan and immediately place it inside a larger bowl filled with ice cubes and water. Continue whisking the mixture until it is ice-cold, several minutes longer.

With a large rubber spatula, transfer a dollop of the egg yolk mixture to the bowl of whipped cream and gently fold the yolk mixture into the cream to lighten it. Then, in 3 or 4 batches, gently fold the whipped cream mixture into the yolk mixture until they are thoroughly combined.

Cover the bowl with plastic wrap and refrigerate until ready to serve. To serve, spoon the mixture attractively into individual bowls. Pass fresh fruit or cookies for dipping.