Stir together the milk and sugar in a large pot (make sure the liquid only goes half-way up the sides as it’s going to get frothy at one point and you don’t want it boiling over) and add the cinnamon and vanilla (if using a bean, split it lengthwise, scrape the seeds into the liquid and add the pod as well). Bring to a boil on medium heat while constantly stirring. This will take about 15 minutes.
When milk boils, remove from heat and add baking soda (dissolved in a bit of water) to the pot. The mixture will rise and get frothy, but as long as you keep stirring it will be fine.
Place the pot back on the stove on medium heat, and stir and stir and stir (though if you need to take a break, leaving the pot unattended for a minute or so won’t cause any harm to the cajeta). Make sure the milk stays at a gentle simmer rather than a raging boil.
After about an hour, the milk should start to turn golden brown. Remove the cinnamon stick and the vanilla pod. At this point, it will start to thicken fast, so it’s important to keep stirring so the milk doesn’t burn on the bottom of the pan.
Keep stirring until the mixture is a rich brown and thick enough to coat the back of the spoon, which will happen in about 15 minutes.
Pour into a glass container. It should keep in the refrigerator for a week, though mine has never lasted that long.
You can find goat’s milk at most health-food stores or farmer’s markets. Also, the cajeta gets thicker as it cools, so be sure not to overcook it. If it’s too thick, however, you can thin it by adding hot water.