Set the oven to the temperature you need for any meat and/or potatoes you're baking or roasting with the veges - anywhere between 160C and 200C is fine. As well as yams and your other chosen veges, you need olive oil, orange juice, a lemon, marsala and salt. Peel and neatly slice the veges so the pieces are roughly the same size as the medium to large yams. Put a little olive oil into a baking dish large enough to hold them all without packing them tightly. Turn the pieces so they're lightly oiled all over.
Mix the baking liquid - half and half orange juice and marsala, with a few squeezes of lemon juice. The amount depends on how large your tray of veges is. It should form a shallow layer in the bottom, enough not to evaporate completely and burn. Pour it over the veges and bake for between 1 hour and 2 and 1/2 hours, depending on what else is in the oven, how hot the temperature needs to be for those things, and whether the vege dish is near the top or near the bottom. (I often start it at the bottom and give it a final half hour near the top.) Turn the veges once about halfway through cooking, taking care to unstick them neatly from the bottom.
You just need to experiment a bit to see what works for you. The essential thing is to get the yams thoroughly cooked, so they keep their shape but are soft when you stick a knife in. Arrange the veges on a hot serving plate. If there's any lovely sticky, orangey, marsala-ey liquid left - there should be a little - you can use it for making a sauce or gravy.