Making the Zabaglione can be tricky. It is helpful to have the eggs at room temperature. Making the zabaglione is nearly the same thing as making a sabayon for hollandaise (the mixture just contains sugar and booze).
See
Topic 3 in the Hollandaise lesson for some reference/guidance. Warming the mixture and vigorous whisking will increase the volume of the zabaglione. This whole process just takes plenty of practice to get it right.
Yes, when dipping the lady fingers, this needs to be done very briefly and quickly as they can quickly fall apart. In terms of the flavor, there are so many variations of this dessert; perhaps this one is just too strong for you. Feel free to make tweaks the next time you make it.
This is a very technical dish. We will eventually cover more pastry-related items in the cooking school; however, we are currently focused on culinary lessons. Hope this helps in the mean time! Cheers!