Preheat oven to 375° F. Place a piece of aluminum foil on the second oven rack. Pierce sweet potatoes all over with a fork and place on the oven rack above the aluminum foil. Bake 60 minutes, or until the potatoes are fork-tender. Remove from the oven and allow to cool for 5-10 minutes.
Slice the sweet potatoes in half lengthwise. Scoop flesh into a medium bowl leaving 1⁄2 inch all around. Place sweet potato skins on a rimmed baking dish.
To the flesh, add cream cheese, Jamaican Jerk Rub, rum and salt. Mix well to combine, mashing any large chunks. Divide mixture between the 8 potato skins. Top with marshmallows and pecans. Return to oven and bake until the marshmallows begin to brown, about 8-10 minutes. Remove and serve immediately.