First pre-heat your oven to 450 degrees. Make sure it is thoroughly pre-heated. You want to roast the marrow bones at a really high temperature for about 20 minutes to completely brown them on top. (Just remember later on that near the end of the roasting you have to keep an eye on them so they don't melt away to nothing.)
Then take a cookie sheet, baking pan, or whatever you have handy and line it with aluminum foil. Make sure all the edges are turned up so that juices, fat, etc. won't leak out. This will help GREATLY during cleanup later on. After everything is done, if you let the pan rest at room temperature any oil will solidify and clean-up will be easy.
Wash the marrow bones as needed and dry off thoroughly with paper towels so there is no moisture on them. Many times the bones are clean enough washing isn't necessary.
Place your pieces of bone out on the tray marrow side up. Some marrow bones have soft bone on one side and marrow on the other, some have marrow all the way through, some only have soft bone. Stick your finger down into the middle of the bone and see if it gives. If it does this is the marrow and place this side up. If it has marrow on both sides place the side with the wider section of marrow up.
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