Lightly pound the veal schnitzel on the work surface so that they are nice and thin. Season with salt and freshly ground pepper. Place a slice of Parma ham and a sage leaf on each schnitzel. Secure both with a toothpick.
Heat the oil in a pan and fry the schnitzel for about 3 minutes on each side. Take out and keep warm on a plate.
Deglaze the roasting mixture with the marsala wine, bring to the boil briefly and pour the sauce over the meat. Serve immediately.